detailed program

2015 ANNUAL MEE TING
JUNE 24-27, 2015
NYENRODE BUSINESS UNIVERSITEIT, NETHERL ANDS
NYENRODE. A REWARD FOR LIFE
Keynote Speaker
Malcolm P. Baker
Robert G. Kirby
Harvard
Professor
Business
of Business
SchoolAdministration
Robert G. Kirby Professor
Business Administration
Unit Head,ofFinance
Unit Head, Finance
Malcolm Baker is the Robert G. Kirby Professor of Business Adminstration at the Harvard Business School,
where
heBaker
is the isUnit
for G.
finance,
the program
directorAdminstration
for corporate at
finance
at the National
of
Malcolm
theHead
Robert
Kirby and
Professor
of Business
the Harvard
BusinessBureau
School,
Economic
Research.
where
he is
the Unit Head for finance, and the program director for corporate finance at the National Bureau of
Economic Research.
His research is in the areas of behavioral finance, corporate finance, and capital markets, with a primary focus on
the
corporate
finance,finance,
investorcorporate
behavior,finance,
and inefficiency
in capital
markets.
Professor
Baker
His interactions
research is inamong
the areas
of behavioral
and capital
markets,
with a primary
focus
on
has interactions
made numerous
presentations
to academic
andbehavior,
practitioner
Hisinresearch
awards include
theBaker
2002
the
among
corporate finance,
investor
andaudiences.
inefficiency
capital markets.
Professor
Brattle
Prize,
given presentations
annually by the
Americanand
Finance
Association
to the
best corporate
in
has made
numerous
to academic
practitioner
audiences.
His research
awardsfinance
include paper
the 2002
the
Journal
of
Finance,
second
place
for
the
2012
Jensen
Prize,
given
annually
by
the
Journal
of
Financial
Brattle Prize, given annually by the American Finance Association to the best corporate finance paper in
Economics,
2011 Sharpe
Award,
given
the Journal
Financial
and Quantitative
Analysis,
and the
the
Journal the
of Finance,
second
place
for annually
the 2012byJensen
Prize,of given
annually
by the Journal
of Financial
2011
and
2014
Graham
and
Dodd
Scroll,
given
annually
by
the
Financial
Analysts
Journal.
He
has
served
as
Economics, the 2011 Sharpe Award, given annually by the Journal of Financial and Quantitative Analysis, and the
associate
the Journal
of Finance
the annually
Review ofbyFinancial
Studies.
2011 and editor
2014 for
Graham
and Dodd
Scroll,and
given
the Financial
Analysts Journal. He has served as
associate editor for the Journal of Finance and the Review of Financial Studies.
Baker has taught in the first and second year of the MBA program at Harvard Business School and in several
executive
In 2006,
heyear
developed
newprogram
elective course
in behavioral
Baker haseducation
taught in programs.
the first and
second
of the aMBA
at Harvard
Businessfinance.
School and in several
executive education programs. In 2006, he developed a new elective course in behavioral finance.
Baker received a Ph.D. in business economics from Harvard University, an M.Phil. in finance from Cambridge
University,
and aa bachelor's
degree ineconomics
applied mathematics-economics
from
beginning
Baker received
Ph.D. in business
from Harvard University,
an Brown
M.Phil.University.
in finance Before
from Cambridge
his
doctoraland
studies,
he was degree
a seniorin associate
at Charles River Associates
and a University.
member ofBefore
the USbeginning
Olympic
University,
a bachelor's
applied mathematics-economics
from Brown
rowing
team.
his doctoral studies, he was a senior associate at Charles River Associates and a member of the US Olympic
rowing team.
Outside of Harvard, he serves as a director of research at Acadian Asset Management, an institutional asset
management
firm focusing
in active
equity strategies,
and as a board
member atasset
TAL
Outside of Harvard,
he serves
as a global
directorand
of international
research at Acadian
Asset Management,
an institutional
International,
a
global
leader
in
container
leasing.
management firm focusing in active global and international equity strategies, and as a board member at TAL
International, a global leader in container leasing.
2015
Annual
Conference
2015
Annual
Conference
2015
Annual
Conference
June
24
–
27,
2015
2015
Annual
Conference
June
24
–
27,
2015
June
24
–
27,
2015
Nyenrode
Business
Universiteit
June
24
–
27,
2015
Nyenrode
Business
Universiteit
Nyenrode
Business
Universiteit
THE
NETHERLANDS
Breukelen,
Nyenrode Business
Universiteit
Breukelen,
THE
NETHERLANDS
Breukelen,
THE
NETHERLANDS
Breukelen, THE NETHERLANDS
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
It is a great pleasure and a true privilege for me, on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
It is a great pleasure and a true privilege for me,
on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
th Annual
Meeting.
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The refereeing process ultimately led to a selection of 288 papers and a programme consisting of as many as 93 parallel
The refereeing process ultimately led to a selection of 288 papers and a programme consisting of as many as 93 parallel
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and interaction
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scholars
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University
Stern School
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Professor
Ralph
Koijen from
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It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
dedication
the perseverance
of many
of my
colleagues
at Nyenrode.
Specifically,
I wouldand
likeorganizational
to thank Professor
It would be and
impossible
to organize such
a major
conference
without
the technical,
administrative
support,Miša
the
the perseverance
of many
of my
colleagues
at Nyenrode.
Specifically,
I wouldand
likeorganizational
to thank Professor
Itdedication
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impossible
to organize such
a major
conference
without
the technical,
administrative
support,Miša
the
Džoljić,
Rector
Nyenrode
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Professor
Paape,Specifically,
Dean of Nyenrode,
unfailing
support.Miša
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dedication
and ofthe
perseverance
of many
of my and
colleagues
at Leen
Nyenrode.
I would for
liketheir
to thank
Professor
Džoljić,
Rector
Nyenrode
Business
Universiteit,
Professor
Paape,Specifically,
Dean of Nyenrode,
unfailing
support.Miša
My
dedication
and ofthe
perseverance
of many
of my and
colleagues
at Leen
Nyenrode.
I would for
liketheir
to thank
Professor
heartfelt
thanksofalso
go to Business
Dr. ErkanUniversiteit,
Ertürk fromand
S&P
in NewLeen
YorkPaape,
and theDean
members
of the for
Organizing
Committee;
Džoljić, Rector
Nyenrode
Professor
of Nyenrode,
their unfailing
support.their
My
heartfeltRector
thanksofalso
go to Business
Dr. ErkanUniversiteit,
Ertürk fromand
S&P
in NewLeen
YorkPaape,
and theDean
members
of the for
Organizing
Committee;
Džoljić,
Nyenrode
Professor
of Nyenrode,
their unfailing
support.their
My
invaluable
academic
crucial.
grateful
to Beau
Soederhuizen
for his
work.Committee;
And last buttheir
not
heartfelt thanks
also input
go tohas
Dr.been
Erkan
ErtürkI am
fromalso
S&P
in New
York and
the members
of impressive
the Organizing
invaluablethanks
academic
crucial.
grateful
to Beau
Soederhuizen
for his
work.Committee;
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not
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also input
go tohas
Dr.been
Erkan
ErtürkI am
fromalso
S&P
in New
York and
the members
of impressive
the Organizing
least,
I thank
Professor
Doukas,
theI am
EFMA
andtothe
Programme
Co-Chairs
of the 2014
EFMA
invaluable
academic
input John
has been
crucial.
alsostaff
grateful
Beau
Soederhuizen
for his impressive
work.
And conference,
last but not
least, I thank
Professor
Doukas,
theI am
EFMA
andtothe
Programme
Co-Chairs
of the 2014
EFMA
invaluable
academic
input John
has been
crucial.
alsostaff
grateful
Beau
Soederhuizen
for his impressive
work.
And conference,
last but not
Professors
Alessandro
Carretta
Gianluca
theirthe
helpful
support and
prompt advice
needed.
least, I thank
Professor
John and
Doukas,
the Mattarocci,
EFMA staffforand
Programme
Co-Chairs
of the whenever
2014 EFMA
conference,
Professors
Alessandro
Carretta
Gianluca
theirthe
helpful
support and
prompt advice
needed.
least,
I thank
Professor
John and
Doukas,
the Mattarocci,
EFMA staffforand
Programme
Co-Chairs
of the whenever
2014 EFMA
conference,
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Authority
theirlike
valuable
inputmy
for sincere
the special
sessions,
Professors
BoBank,
Becker,
Ralph
Martijn Cremers,
Van
Finally, I for
would
to extend
thanks
to thetoDutch
Central
IMF,
andKoijen,
the European
SecuritiesStijn
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theirlike
valuable
inputmy
for sincere
the special
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Martijn Cremers,
Van
Finally,
would
to extend
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to thetoDutch
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IMF,
andKoijen,
the European
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Market
Nieuwerburgh
andvaluable
Malcolminput
Baker
dedication
andtoacademic
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Conference
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forfor
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Bo Becker,
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Stijn
Van
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andvaluable
Malcolminput
Baker
dedication
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to theRalph
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EFMA,
Authority
for their
forfor
thetheir
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Bo Becker,
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Martijnsponsors,
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Stijn
Van
GARP,
Euronext,
LangBaker
and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
GARP, Euronext,
LangBaker
and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP, Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP,
Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing the necessary resources, not only administratively and physically, but also financially.
providing the necessary resources, not only administratively and physically, but also financially.
I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I hope you will enjoy EFMA’s 24th Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24th stay
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24 stay
and I wish you all a very pleasant stay in Breukelen.
and I wish you all a very pleasant stay in Breukelen.
Dennis Vink – EFMA 2015 Program Chair
Dennis Vink – EFMA 2015 Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Nyenrode of
Business
Professor
FinanceUniversiteit
and Investment
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
Visiting
Professor of Finance,
and
Visiting Professor of Finance,
and
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
1
1
1
1
2015
Annual
Conference
2015
Annual
Conference
2015
Annual
Conference
June
24
–
27,
2015
2015
Annual
Conference
June
24
–
27,
2015
June
24
–
27,
2015
Nyenrode
Business
Universiteit
June
24
–
27,
2015
Nyenrode
Business
Universiteit
Nyenrode
Business
Universiteit
Breukelen,
THE NETHERLANDS
NETHERLANDS
Nyenrode Business
Universiteit
Breukelen,
THE
Breukelen,
THE
NETHERLANDS
Breukelen, THE NETHERLANDS
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Nyenrode Business Universiteit
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
It is a great pleasure and a true privilege for me, on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
It is a great pleasure and a true privilege for me,
on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
th Annual
Meeting.
call foratpapers,
weBusiness
received Universiteit,
an impressive
welcome
youpleasure
to Breukelen
EFMA’sfor24me,
It is a great
and a and
true to
privilege
on behalf
of the Following
Centre forour
Finance
Nyenrode
to
th Annual
Meeting.
callstudents
foratpapers,
weBusiness
received
anin impressive
you
to Breukelen
to
EFMA’s
Itwelcome
is a great
pleasure
and a and
true has
privilege
for24me,
on its
behalf
of the Following
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to
Nyenrode
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a
reputation
for
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Meeting.
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It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
dedication
the perseverance
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likeorganizational
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It would be and
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the
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likeorganizational
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Itdedication
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the
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Professor
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colleagues
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Nyenrode.
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heartfelt
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go to Business
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Ertürk fromand
S&P
in NewLeen
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and theDean
members
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Professor
of Nyenrode,
their unfailing
support.their
My
heartfeltRector
thanksofalso
go to Business
Dr. ErkanUniversiteit,
Ertürk fromand
S&P
in NewLeen
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and theDean
members
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Džoljić,
Nyenrode
Professor
of Nyenrode,
their unfailing
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crucial.
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grateful
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grateful
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Alessandro
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the Mattarocci,
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Programme
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of the whenever
2014 EFMA
conference,
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Alessandro
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Gianluca
theirthe
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the Mattarocci,
EFMA staffforand
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of the whenever
2014 EFMA
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Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Authority
theirlike
valuable
inputmy
for sincere
the special
sessions,
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Finally, I for
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Finally,
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to extend
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Business
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andAward
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for
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support,
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Conference
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GARP, Euronext,
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Business
Universiteit
andAward
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for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
providing
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physically,
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financially.and the Centre for Finance for
GARP, Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP,
Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing the necessary resources, not only administratively and physically, but also financially.
providing the necessary resources, not only administratively and physically, but also financially.
I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I hope you will enjoy EFMA’s 24th Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24th stay
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24 stay
and I wish you all a very pleasant stay in Breukelen.
and I wish you all a very pleasant stay in Breukelen.
Dennis Vink – EFMA 2015 Program Chair
Dennis Vink – EFMA 2015 Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Nyenrode of
Business
Professor
FinanceUniversiteit
and Investment
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
Visiting
Professor of Finance,
and
Visiting Professor of Finance,
and
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
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thank
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landschap combineert Nyenrode allure
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and Gianluca
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and
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providing
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Doukas,
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the Centre Ifor
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Dennis
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Professor of
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45.Campus Hotel
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Dear Colleagues and Friends of the European Financial Management Association (EFMA),
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Dear Colleagues and Friends ofBreukelen,
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Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
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Professor
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their unfailing
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My
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Ertürk fromand
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Professor
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My
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grateful
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Soederhuizen
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Alessandro
Carretta
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theirthe
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least, I thank
Professor
John and
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the Mattarocci,
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of the whenever
2014 EFMA
conference,
Professors
Alessandro
Carretta
Gianluca
theirthe
helpful
support and
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needed.
least,
I thank
Professor
John and
Doukas,
the Mattarocci,
EFMA staffforand
Programme
Co-Chairs
of the whenever
2014 EFMA
conference,
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Authority
theirlike
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for sincere
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Van
GARP,
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and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
GARP, Euronext,
LangBaker
and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP, Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP,
Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
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providing the necessary resources, not only administratively and physically, but also financially.
providing the necessary resources, not only administratively and physically, but also financially.
I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I hope you will enjoy EFMA’s 24th Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24th stay
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24 stay
and I wish you all a very pleasant stay in Breukelen.
and I wish you all a very pleasant stay in Breukelen.
Dennis Vink – EFMA 2015 Program Chair
Dennis Vink – EFMA 2015 Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Nyenrode of
Business
Professor
FinanceUniversiteit
and Investment
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
Visiting
Professor of Finance,
and
Visiting Professor of Finance,
and
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
41
1
1
1
2015
Annual
Conference
2015
Annual
Conference
2015
Annual
Conference
June
24
–
27,
2015
2015
Annual
Conference
June
24
–
27,
2015
June
24
–
27,
2015
Nyenrode
Business
Universiteit
June
24
–
27,
2015
Nyenrode
Business
Universiteit
Nyenrode
Business
Universiteit
Breukelen,
THE NETHERLANDS
NETHERLANDS
Nyenrode Business
Universiteit
Breukelen,
THE
Breukelen,
THE
NETHERLANDS
Breukelen, THE NETHERLANDS
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
It is a great pleasure and a true privilege for me, on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
It is a great pleasure and a true privilege for me,
on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
th Annual
Meeting.
call foratpapers,
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welcome
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GARP, Euronext,
Larry
Lang
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and finally
toand
Nyenrode
Business
Universiteit
and the
Centre
for Finance
for
Organizer/Moderator:
Professor
Stijn
Van
Nieuwerburgh,
NYU
Stern
School
of
Business
Panelists:
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP,
Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing the necessary
resources,
not
only
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andStern
physically,
but
also financially.
Professor
Stijn
Van
Nieuwerburgh,
NYU
School
of
Business
providing the necessary resources,
not only administratively and physically, but also financially.
th Annual
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andReserve
benefit from its
andand
intellectually
programme,
I hope you will enjoyProfessor
EFMA’s 24
Oscar
Jorda,
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San Francisco
UC Davis stimulating
th
Meeting
and benefit Bank
from its
challenging
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stimulating programme,
I hope you will enjoy EFMA’s 24th Annual
I wish
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pleasant
stay
in
Breukelen.
Annual
Meeting
and
benefit
from
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hope
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Professor
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hope
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and I wish you all a very
pleasant
stay
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Breukelen.
Professor
Paul
Hilbers,
Nyenrode Business Universiteit and Dutch Central Bank
and I wish you all a very
pleasant
stay
in Breukelen.
Dennis Vink – EFMAJeroen
2015 Program
Chair
van Hessen,
Managing Partner Dutch Mortgage Funding Company
Dennis Vink – EFMA 2015 Program
Chair
Professor
of
Finance
and
Investment
Dennis
Vink
–
EFMA
2015
Program
Chair
19:45 – Vink
20:00
Ceremony
Professor
of Finance
and
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Dennis
– EFMAOpening
2015
Program
Chair
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Coach House A
Room:
Nyenrode of
Business
Professor
FinanceUniversiteit
and Investment
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
20:00 –Professor
21:30
Visiting
of Reception
Finance,
and
Visiting Professor of Room:
Finance,
and
Coach House Stal
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
51
Program Timetable
1
1
1
Thursday, June 25 2015
08:00 – 18:00
Registration, Nyenrode Business Universiteit
Neelie Kroes Hal
08:30 – 10:15
Presentations (10 parallel sessions)
Session Rooms: AH-B, AH-C, AH-D, AH-E, AH-H, AH-J, AH-1, AH-3,
103, C-23
10:15 – 10:45
Coffee break – Neelie Kroes Hal
10:45 – 12:30
12:30 – 13:45
13:45 – 15:30
Presentations (112015
parallel sessions)
Annual
Conference
2015
Annual
Conference
Session Rooms: AH-B,
AH-C,
AH-D, AH-E,Conference
AH-G, AH-H, AH-J, AH-1, AH-3,
2015
Annual
June
24
–
27,
2015
Annual
103, C-23
June 24 – Conference
27, 2015
2015
June 24 – 27, Universiteit
2015
2015
Universiteit
Nyenrode
Business
Universiteit
Breukelen,
THE NETHERLANDS
NETHERLANDS
Nyenrode
Business
Universiteit
Presentations
(11 parallel sessions)
Breukelen,
THE
Breukelen,
THE
NETHERLANDS
Session Rooms:
AH-B, AH-C, AH-D,
AH-E,NETHERLANDS
AH-G, AH-H, AH-J, AH-1, AH-3,
Breukelen,
THE
June
24 – 27,
Lunch breakNyenrode
– Neelie Kroes
HalBusiness
Nyenrode
Business
Sessions D1–D10
Sessions E1 – E11
Sessions F1 – F11
Dear Colleagues and103,
Friends
the European Financial Management Association (EFMA),
C-23of
Dear Colleagues and Friends
of the European Financial Management Association (EFMA),
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
15:30Colleagues
– 16:00 andCoffee
break
– Neelie
Kroes
Hal Management Association (EFMA),
Dear
Friends
of the
European
Financial
It is a great pleasure and a true privilege for me, on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
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Friday, June
2015 of Business and Professor Ralph Koijen from London Business School.
It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
dedication
the perseverance
of many
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colleagues
at Nyenrode.
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likeorganizational
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It would be and
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the technical,
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the
and
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likeorganizational
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thank Professor
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Itdedication
would–be
impossible
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08:30
10:15
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H1 – H10
Džoljić,
Rector
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and
Professor
Paape,Specifically,
Dean of Nyenrode,
unfailing
support.
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dedication
and ofthe
perseverance
of many
of mysessions)
colleagues
at Leen
Nyenrode.
I would for
liketheir
to thank
Professor
Miša
Džoljić,
Rector
Nyenrode
Business
Universiteit,
Professor
Paape,
Dean
of Nyenrode,
for
unfailing
support.Miša
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dedication
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perseverance
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ofAH-C,
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at Leen
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to thank
Professor
Session
Rooms:
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AH-G,
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02,
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heartfelt
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go to Business
Dr. ErkanUniversiteit,
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S&P
in NewLeen
YorkPaape,
and theDean
members
of the for
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Professor
of Nyenrode,
their unfailing
support.their
My
heartfeltRector
thanksofalso
go to Business
Dr. ErkanUniversiteit,
Ertürk fromand
S&P
in NewLeen
YorkPaape,
and theDean
members
of the for
Organizing
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Džoljić,
Nyenrode
Professor
of Nyenrode,
their unfailing
support.their
My
invaluable
academic
input
has
been
crucial.
I
am
also
grateful
to
Beau
Soederhuizen
for
his
impressive
work.
And
last
but
not
heartfelt
thanks
also
go
to
Dr.
Erkan
Ertürk
from
S&P
in
New
York
and
the
members
of
the
Organizing
Committee;
their
10:15 – 10:45
Coffee break – Neelie Kroes Hal
invaluablethanks
academic
crucial.
grateful
to Beau
Soederhuizen
for his
work.Committee;
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Programme
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invaluable
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hasSession
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alsostaff
grateful
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12:30
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least,
thank
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theI am
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of the 2014
EFMA
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invaluable
academic
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has been
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alsostaff
grateful
Beau
Soederhuizen
for his impressive
work.
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last but not
Professors
Alessandro
Carretta
Gianluca
theirthe
helpful
support and
prompt advice
needed.
least, I thank
Professor
John and
Doukas,
the Mattarocci,
EFMA staffforand
Programme
Co-Chairs
of the whenever
2014 EFMA
conference,
“Active
Fund
Management
andstaff
Performance”
Professors
Alessandro
Carretta
and
Gianluca
forand
theirthe
helpful
support and
prompt advice
needed.
least,
I thank
Professor
John
Doukas,
the Mattarocci,
EFMA
Programme
Co-Chairs
of the whenever
2014 EFMA
conference,
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Professors Alessandro Carretta and Gianluca
Mattarocci, for their
helpful University
support and
advice whenever needed.
Cremers,
of prompt
Notre
Finally, I would like Organizer/Moderator:
to extend my sincereProfessor
thanks toMartijn
the Dutch
Central Bank, IMF,
and Dame
the European Securities Market
Finally, I would like Panelists:
to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Authority
theirlike
valuable
inputmy
for sincere
the special
sessions,
Professors
BoBank,
Becker,
Ralph
Martijn Cremers,
Van
Finally, I for
would
to extend
thanks
to thetoDutch
Central
IMF,
andKoijen,
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Market
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theirlike
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for sincere
theKacperczyk,
special
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Martijn Cremers,
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Finally,
would
to extend
my
thanks
to
thetoDutch
Central
IMF,
andKoijen,
the European
SecuritiesStijn
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Professor
Imperial
College
London
Nieuwerburgh
andvaluable
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Baker
dedication
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Conference
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andvaluable
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Baker
for
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the
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Award
sponsors,
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EFMA,
Authority
for their
input
for
the
special
sessions,
to
Professors
Bo
Becker,
Ralph
Koijen,
Martijn
Cremers,
Stijn
Van
Professor
Russ
Wermers,
University
of
Maryland
GARP,
Euronext,
LangBaker
and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
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support,
to the
Conference
sponsors,
to EFMA,
GARP, Euronext,
Lang
and
John
Doukas,
and
finally
to
Nyenrode
Business
Universiteit
and
the
Centre
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for
Nieuwerburgh
andLarry
Malcolm
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for
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to
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Joop
Huij,
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andphysically,
SeniorBusiness
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providing
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Lang
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Doukas,
andUniversity
finally toand
Nyenrode
Universiteit
and the Centre for Finance for
providing
the necessary
resources,
not
only
administratively
and
physically,
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also
financially.
GARP,
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Larry
Lang
and
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Doukas,
and
finally
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and
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for
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financially.
Wapenzaal
(Aula),
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Meeting
and benefit
fromCastle
its challenging and intellectually stimulating programme,
I hope you will enjoySession
EFMA’sRoom:
24th Annual
I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I
wish
you
all
a
very
pleasant
stay
in
Breukelen.
Annual
Meeting
and
benefit
from
its challenging and intellectually stimulating programme,
Iand
hope
you
will
enjoy
EFMA’s
24
12:30
– 13:45
Lunch
break
Neelie
Kroes Hal
I wish
you
a very
pleasant
in Breukelen.
Annual
Meeting
and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you
will all
enjoy
EFMA’s
24th–stay
and I wish you all a very pleasant stay in Breukelen.
13:30
– 15:00
Special
Session
to everyone)
Special Session 3
and
I wish
you all a very
pleasant
stay (Open
in Breukelen.
Dennis Vink – EFMA 2015 Program Chair
Dennis Vink – EFMA
2015
Program
Chairand Regulation - What has Changed in Credit
“Six
Years
of
Reform
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Professor
of Finance
and
Investment
Dennis Vink
– EFMA
2015
Program Chair
Ratings”
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Nyenrode of
Business
Professor
FinanceUniversiteit
and
Investment
Organizer/Moderator: Professor Bo Becker, Stockholm School of Economics
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
Visiting
Professor of Panelists:
Finance,
and
Visiting Professor of Professor
Finance,
and
Moscow
State University
Visiting Professor
of Finance, Jakob de Haan, University of Groningen and Dutch Central Bank
MoscowProfessor
State University
Visiting
of Professor
Finance, Anil Kashyap, University of Chicago, Booth School of Business
and
Technical
of Denmark
Moscow
State University
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
61
1
1
1
Lelio Lapresa, Senior Officer Credit Rating Agencies Unit at ESMA
Gerben de Noord, Standard & Poor’s, European Policy Advisor Global
Regulatory Affairs department at Standard & Poor’s
Session Room: Wapenzaal (Aula), Nyenrode Castle
15:00 – 15:30
Coffee break – Neelie Kroes Hal
15:45 – 17:30
Presentations (10 parallel sessions)
Session Rooms: AH-B, AH-C, AH-G, AH-H, AH-J, AH-1, 02, 03, TH, C-23
19:00 – 20:00
Keynote Speech (Open
to everyone)
2015
Annual
Conference
2015
Annual
Conference
2015
Annual
Conference
“The Low Risk Anomaly
and
Corporate Finance”
June
24
–
27,
2015
2015
Annual
Conference
June
–
27,
2015
Professor Malcolm Baker,
Harvard24
Business
School
June
24
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27,
2015
Nyenrode
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Universiteit
June
24
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Nyenrode Business Universiteit
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Sessions I1 – I10
Keynote Speech
Breukelen,
THE NETHERLANDS
NETHERLANDS
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Breukelen,
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Breukelen,
THE
NETHERLANDS
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NETHERLANDS
Dear Colleagues andEFMA,
Friends
of the
European Award
Financial Management Association (EFMA),
Best
Conference
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Dear Colleagues andGARP
Friends
of Risk
the European
Financial
Management Association (EFMA),
Best
Management
Award
Dear Colleagues and Friends
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It is a great pleasureNYSE
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programme
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and Professor Ralph Koijen from London Business School.
13:00
Conference
Ends
University Stern School of Business and Professor Ralph Koijen from London Business School.
It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
dedication
the perseverance
of many
of my
colleagues
at Nyenrode.
Specifically,
I wouldand
likeorganizational
to thank Professor
It would be and
impossible
to organize such
a major
conference
without
the technical,
administrative
support,Miša
the
the perseverance
of many
of my
colleagues
at Nyenrode.
Specifically,
I wouldand
likeorganizational
to thank Professor
Itdedication
would be and
impossible
to organize such
a major
conference
without
the technical,
administrative
support,Miša
the
Džoljić,
Rector
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Professor
Paape,Specifically,
Dean of Nyenrode,
unfailing
support.Miša
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dedication
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perseverance
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colleagues
at Leen
Nyenrode.
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liketheir
to thank
Professor
Džoljić,
Rector
Nyenrode
Business
Universiteit,
Professor
Paape,Specifically,
Dean of Nyenrode,
unfailing
support.Miša
My
dedication
and ofthe
perseverance
of many
of my and
colleagues
at Leen
Nyenrode.
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liketheir
to thank
Professor
heartfelt
thanksofalso
go to Business
Dr. ErkanUniversiteit,
Ertürk fromand
S&P
in NewLeen
YorkPaape,
and theDean
members
of the for
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Nyenrode
Professor
of Nyenrode,
their unfailing
support.their
My
heartfeltRector
thanksofalso
go to Business
Dr. ErkanUniversiteit,
Ertürk fromand
S&P
in NewLeen
YorkPaape,
and theDean
members
of the for
Organizing
Committee;
Džoljić,
Nyenrode
Professor
of Nyenrode,
their unfailing
support.their
My
invaluable
academic
crucial.
grateful
to Beau
Soederhuizen
for his
work.Committee;
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not
heartfelt thanks
also input
go tohas
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Erkan
ErtürkI am
fromalso
S&P
in New
York and
the members
of impressive
the Organizing
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to Beau
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not
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go tohas
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fromalso
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in New
York and
the members
of impressive
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least,
I thank
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theI am
EFMA
andtothe
Programme
Co-Chairs
of the 2014
EFMA
invaluable
academic
input John
has been
crucial.
alsostaff
grateful
Beau
Soederhuizen
for his impressive
work.
And conference,
last but not
least, I thank
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theI am
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andtothe
Programme
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of the 2014
EFMA
invaluable
academic
input John
has been
crucial.
alsostaff
grateful
Beau
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for his impressive
work.
And conference,
last but not
Professors
Alessandro
Carretta
Gianluca
theirthe
helpful
support and
prompt advice
needed.
least, I thank
Professor
John and
Doukas,
the Mattarocci,
EFMA staffforand
Programme
Co-Chairs
of the whenever
2014 EFMA
conference,
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Alessandro
Carretta
Gianluca
theirthe
helpful
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prompt advice
needed.
least,
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the Mattarocci,
EFMA staffforand
Programme
Co-Chairs
of the whenever
2014 EFMA
conference,
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Authority
theirlike
valuable
inputmy
for sincere
the special
sessions,
Professors
BoBank,
Becker,
Ralph
Martijn Cremers,
Van
Finally, I for
would
to extend
thanks
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IMF,
andKoijen,
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Market
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theirlike
valuable
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for sincere
the special
sessions,
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Martijn Cremers,
Van
Finally,
would
to extend
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Central
IMF,
andKoijen,
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Market
Nieuwerburgh
andvaluable
Malcolminput
Baker
dedication
andtoacademic
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to theRalph
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forfor
thetheir
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andvaluable
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forfor
thetheir
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Van
GARP,
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and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
GARP, Euronext,
LangBaker
and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP, Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP,
Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing the necessary resources, not only administratively and physically, but also financially.
providing the necessary resources, not only administratively and physically, but also financially.
I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I hope you will enjoy EFMA’s 24th Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24th stay
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24 stay
and I wish you all a very pleasant stay in Breukelen.
and I wish you all a very pleasant stay in Breukelen.
Dennis Vink – EFMA 2015 Program Chair
Dennis Vink – EFMA 2015 Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Nyenrode of
Business
Professor
FinanceUniversiteit
and Investment
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
Visiting
Professor of Finance,
and
Visiting Professor of Finance,
and
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
71
20:00 – 20:15
1
1
1
Session Timings
Wednesday
Sessions A1 – A5
11:15-11:35
11:50-12:10
12:25-12:45
First Paper Presentation & Questions
Second Paper Presentation & Questions
Third Paper Presentation & Questions
Sessions B1 – B6
14:00-14:20
14:35-14:55
15:10-15:30
2015
Annual
First Paper Presentation
& Questions Conference
14:20-14:35
2015
Annual
Conference
June
24
–
27,
2015
2015
Annual
Conference
Second Paper Presentation
&24
Questions
14:55-15:10
June
–
27,
2015
June
24
–
27,
2015
Third Paper
Presentation
&
Questions
Nyenrode
Business
June
24 – 27, Universiteit
201515:30-15:45
11:35-11:50
12:10-12:25
12:45-13:00
2015 Annual Conference
Nyenrode Business Universiteit
Discussion & Questions
Discussion & Questions
Discussion & Questions
Discussion & Questions
Discussion & Questions
Discussion & Questions
Nyenrode
Universiteit
Sessions C1 – C6
Breukelen,
THE NETHERLANDS
NETHERLANDS
Nyenrode Business
Business
Universiteit
Breukelen,
THE
16:15-16:35
First Paper
Presentation & Questions
16:35-16:50
Discussion & Questions
Breukelen,
THE
NETHERLANDS
Breukelen,
THE
NETHERLANDS
16:50-17:10
Second
Paper
Presentation
&
Questions
17:10-17:25
Discussion & Questions
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
17:25-17:45
ThirdofPaper
Presentation
& Questions
17:45-18:00
Discussion & Questions
Dear Colleagues and Friends
the European
Financial
Management Association
(EFMA),
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
ItThursday
is a great pleasure and a true privilege for me, on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
It is a great pleasure and a true privilege for me,
on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
th Annual
Meeting.
call foratpapers,
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Professor
of Nyenrode,
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My
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am
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Soederhuizen
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impressive
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last
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go
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Erkan
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S&P
in
New
York
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the
members
of
the
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invaluable
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grateful
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Soederhuizen
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work.
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last but not
Professors
Alessandro
Carretta
and
Gianluca
Mattarocci,
for
their
helpful
support
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prompt
advice
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needed.
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thank
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John
Doukas,
the
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of
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2014
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Gianluca
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Professors
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and
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whenever needed.
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to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
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Martijnsponsors,
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Van
Nieuwerburgh
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for
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Conference
Award
sponsors,
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Becker,
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Cremers,
Stijn
Van
16:20-16:40
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Questions
GARP,
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and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
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Malcolm
for their
dedication
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support,
to the
Conference
sponsors,
to EFMA,
GARP, Euronext,
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Doukas,
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Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
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Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
providing
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resources,
notPresentation
only
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physically,
but17:15-17:30
also
financially.andDiscussion
GARP,
Euronext,
Larry Lang
and
John
Doukas,
and&finally
toand
Nyenrode
Business
Universiteit
the Centre&for
Finance for
Third
Paper
Questions
Questions
16:55-17:15
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP,
Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing
necessary resources, not only administratively and physically, but also financially.
Saturday the
providing
the necessary resources, not only administratively and physically, but also financially.
I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
J6 EFMA’s 24th Annual Meeting and benefit from its challenging and intellectually stimulating programme,
ISessions
hope youJ1
will– enjoy
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24th stay
and
I wish
a very
pleasant
stay
in Breukelen.
Annual
Meeting &
and
benefit from its challenging
and intellectually
stimulating
programme,
I08:30-08:50
hope
you you
will all
enjoy
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First24
Paper
Presentation
Questions
08:50-09:05
Discussion
& Questions
and I wish you all a very pleasant stay in Breukelen.
and I wish you all a very pleasant
stay
in Presentation
Breukelen. & Questions
09:05-09:25
Second
Paper
09:25-09:40
Discussion
&
Questions
Dennis Vink – EFMA 2015 Program Chair
Dennis Vink – EFMA 2015
Program
09:40-10:00
Third
Paper Chair
Presentation & Questions
10:00-10:15
Discussion & Questions
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program
Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Nyenrode
Business
Professor of
and Investment
Sessions
K1Finance
– K5 Universiteit
Nyenrode of
Business
Professor
FinanceUniversiteit
and Investment
and
Nyenrode
Business
Universiteit
10:45-11:05
First Paper Presentation & Questions
11:05-11:20
Discussion & Questions
and
Nyenrode
Business Universiteit
Visiting
Professor of Finance,
and
11:20-11:40
Second
Paper
Presentation
&
Questions
11:40-11:55
Discussion & Questions
Visiting Professor of Finance,
and
Moscow
State University
Visiting Professor
of Finance,
11:55-12:15
Third
Paper
Presentation
&
Questions
12:15-12:30
Discussion & Questions
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
81
1
1
1
List of Committee Members and Exhibitors
2015 Program Committee
De Laurentis, Giacomo SDA Bocconi
Aarhus University
De Roon, Frans A.
Universiteit van Tilburg
Universidad Rey Juan Carlos
2015
Annual
Conference
Dell'Acqua, Alberto
SDA Bocconi
University of2015
SheffieldAnnual Conference
Derrien, François
HEC Paris
Annual
Conference
McDonough2015
School
of
Business
June
24
–
27,
2015
2015
Annual
Conference
June
24
–
27,
2015
Di Iorio,
Amalia
La Trobe University
- Georgetown University
June
24
–
27,
2015
Nyenrode
Business
Universiteit
June
24
–
27,
2015
Díaz,
Antonio
University of Castile-La Mancha
Aktas, Nihat
Skema
Business
School
Nyenrode
Business
Universiteit
Nyenrode
Business
Universiteit
Doukas,
John
Old Dominion University
Alexandridis, George
University
of
Reading
Breukelen,
THE NETHERLANDS
NETHERLANDS
Nyenrode Business
Universiteit
Breukelen,
THE
Driessen,
Joost
Ammann, Manuel
University
of St.Gallen THE NETHERLANDS Universiteit van Tilburg
Breukelen,
Breukelen,
THE NETHERLANDS
Drobetz, Wolfgang
University of Hamburg
Arcos,
Santiago and
Forte
Esade
Dear Colleagues
Friends
of the European Financial Management Association (EFMA),
Dear
Colleagues
and
Friends
of
the
European
Financial
Management
Association
(EFMA),
Dumitrescu, Ariadna
Esade
Areal,
Nelson and Friends
University
of Minho Financial Management
Dear Colleagues
of the European
Association (EFMA),
Dear Colleagues
and Friends
of the European
Financial Management
Association
(EFMA), Darthmouth College
Eckbo,
B. Espen
Armada,
Manuel
University
of
Minho
It is a great pleasure and a true privilege for me, on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
It is a great
pleasure
and aErasmus
true privilege
for me,
on behalf of the Elton,
CentreEdwin
for Finance at Nyenrode
Business
Universiteit, to
New York
University
Arnold,
Ivo
J.M.
Universiteit
th Annual
Meeting.
call foratpapers,
weBusiness
received Universiteit,
an impressive
welcome
youpleasure
to Breukelen
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It is a great
and a and
true to
privilege
for24me,
on behalf
of the Following
Centre forour
Finance
Nyenrode
to
th Annual
Meeting.
Following
our
call
for
papers,
we
received
an impressive
youpleasure
toR.Breukelen
and
EFMA’s
24me,
Itwelcome
is a great
and aUniversiteit
true to
privilege
for
on
behalf
of
the
Centre
for
Finance
at
Nyenrode
Business
Universiteit,
to
Errunza,
Vihang
McGill
University
Arping,
Stefan
van
Amsterdam
number
high-quality
manuscripts,
and this
theMeeting.
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Victoria University
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Dennis Vink – EFMA 2015 Program Chair
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Vrije Universiteit Amsterdam
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Ettore
Università Cattolica
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University of Vienna
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University of Western Australia
Cuñado,
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University
of
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Moscow
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European Central Bank
Da
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Universiteit
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Moscow
State University of Denmark
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Aabo, Tom
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Rijksuniversiteit Groningen
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Bocconi University & SDA
National Taiwan University
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Ovtchinnikov, Alexei
HEC Paris
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Ozkan, Neslihan
University of Bristol
Paxson, Dean
Manchester Business School
University of Aberdeen
Hollifield, Burton
Carnegie Mellon University
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City University, London
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University of Leeds
Pelizzon, Loriana
University of Venice
Hoshi, Takeo
Stanford University
Penalva, José
Carlos III University of Madrid
Ivashina, Victoria
Harvard Business School
Perotti, Enrico
Universiteit van Amsterdam
Johannes, Michael
Columbia University
Perrakis, Stylianos
Concordia University
2015
Annual
Conference
2015
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Conference
Jones, Charles
Columbia University
Petmezas,
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University of Surrey
2015
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Conference
June
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2015
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Boston College
Phalippou,
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Oxford University
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Athens
University
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impossible to organize
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technical,
administrative University
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support,
the
dedication
the
perseverance
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of
my
colleagues
at
Nyenrode.
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I
would
like
to
thank
Professor
Miša
ItManganelli,
would be and
impossible
to
organize
such
a
major
conference
without
the
technical,
administrative
and
organizational
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European
Central
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the perseverance
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likeorganizational
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Itdedication
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the technical,
administrative
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the
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Rector
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Business
Universiteit,
and
Professor
Leen
Paape,
Dean
of
Nyenrode,
for
their
unfailing
support.
My
dedication
and
the
perseverance
of
many
of
my
colleagues
at
Nyenrode.
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I
would
like
to
thank
Professor
Miša
Marcato,
Gianluca
University
of Reading
Siegmann,
Arjen
H. I wouldVrije
Universiteit
Amsterdam
Džoljić,
Rector
Nyenrode
Business
Universiteit,
Professor
Paape,Specifically,
Dean
of Nyenrode,
for
unfailing
support.Miša
My
dedication
and ofthe
perseverance
of many
of my and
colleagues
at Leen
Nyenrode.
liketheir
to thank
Professor
heartfelt
thanks
also
go
to
Dr.
Erkan
Ertürk
from
S&P
in
New
York
and
the
members
of
the
Organizing
Committee;
their
Džoljić,
Rector
of
Nyenrode
Business
Universiteit,
and
Professor
Leen
Paape,
Dean
of
Nyenrode,
for
their
unfailing
support.
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Markellos,
Raphael
ofErtürk
East from
Anglia
Silva,
School
heartfelt
thanks
go to University
Dr. ErkanUniversiteit,
S&P
in NewLeen
York
andRui
theDean
members
of theLondon
Organizing
Committee;
Džoljić,
Rector
ofalso
Nyenrode
Business
and
Professor
Paape,
of Nyenrode,
for
theirBusiness
unfailing
support.their
My
invaluable
academic
input
has
been
crucial.
I
am
also
grateful
to
Beau
Soederhuizen
for
his
impressive
work.
And
last
but
not
heartfelt
thanks
also
go
to
Dr.
Erkan
Ertürk
from
S&P
in
New
York
and
the
members
of
the
Organizing
Committee;
their
Marsh, Ian
City
University,
London
Singh,
Vivek
of Michiganinvaluable
academic
crucial.
I am
grateful
to Beau
Soederhuizen
for his
work.
And last buttheir
not
heartfelt
thanks
also input
go tohas
Dr.been
Erkan
Ertürk
fromalso
S&P
in New
York
and
the members
of impressive
theUniversity
Organizing
Committee;
least,
I thank
Professor
Doukas,
the
EFMA
andtothe
Programme
Co-Chairs
of Dearborn
the 2014
EFMA
invaluable
academic
input John
has
been
crucial.
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alsoofstaff
grateful
Beau
Soederhuizen
for his impressive
work.
And conference,
last but not
Martí Pellón,
José
Complutense
University
least,
I thank
Professor
Doukas,
the
EFMA
andtothe
Programme
Co-Chairs
of the 2014
EFMA
invaluable
academic
input John
has
been
crucial.
I am
alsostaff
grateful
Beau
Soederhuizen
for his impressive
work.
And conference,
last but not
Professors
Alessandro
Carretta
and
Gianluca
Mattarocci,
for
their
helpful
support
and
prompt
advice
whenever
needed.
least, I thank
Professor
John
Doukas,
the
EFMA
staff
and
the
Programme
Co-Chairs
of
the
2014
EFMA
conference,
Skinner,
Frank
University
Madrid
Professors
Alessandro
Carretta
and
Gianluca
theirthe
helpful
support
and
prompt advice
needed.
least,
I thank
Professor
John
Doukas,
the Mattarocci,
EFMA staffforand
Programme
Co-Chairs
of Brunel
the whenever
2014
EFMA
conference,
Professors
Carretta
and Gianluca
Mattarocci, for their helpful
supportMorten
and prompt advice
whenever
needed.
Mathur, IkeAlessandro
Southern
Ilinois University
Sorensen,
Columbia
University
Professors
Alessandro Carretta
and Gianluca
Mattarocci, for their helpful
support and prompt advice
whenever
needed.
Finally,
I
would
like
to
extend
my
sincere
thanks
to
the
Dutch
Central
Bank,
IMF,
and
the
European
Securities
Market
Mattarocci,
Gianluca
University
of
Rome
Tor
Vergata
Sosvilla-Rivero,
Simón
Universidad
Complutense
de
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Authority
for
their
valuable
input
for
the
special
sessions,
to
Professors
Bo
Becker,
Ralph
Koijen,
Martijn
Cremers,
Stijn
Van
Finally,
I
would
like
to
extend
my
sincere
thanks
to
the
Dutch
Central
Bank,
IMF,
and
the
European
Securities
Market
Maudos,
Joaquín
Universidad
de
Valencia
Madrid
AuthorityI for
theirlike
valuable
inputmy
for sincere
the special
sessions,
Professors
BoBank,
Becker,
Ralph
Martijn Cremers,
Van
Finally,
would
to extend
thanks
to thetoDutch
Central
IMF,
andKoijen,
the European
SecuritiesStijn
Market
Nieuwerburgh
andvaluable
Malcolminput
Baker
dedication
andtoacademic
support,
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Conference
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sponsors,
EFMA,
Authority
their
forfor
theoftheir
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Bo Becker,
Koijen,
Martijn
Cremers, to
Stijn
Van
Mckenzie,for
University
Liverpool
Spagnolo,
Nicola
Burnel
University
Nieuwerburgh
andvaluable
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Baker
dedication
andtoacademic
support,
to theRalph
Conference
Award
sponsors,
EFMA,
Authority
forMichael
their
forfor
thetheir
special
sessions,
Professors
Bo Becker,
Koijen,
Martijn
Cremers, to
Stijn
Van
GARP,
Euronext,
Lang
and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
and
the Centre
Finance
for
Nieuwerburgh
andLarry
Malcolm
Baker
for oftheir
dedication
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support,
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the
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to EFMA,
Megginson,
William
University
Oklahoma
Spalt,
Oliver
Universiteit
van for
Tilburg
GARP,
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Lang
and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
and
the Centre
for
Finance
for
Nieuwerburgh
andLarry
Malcolm
Baker
for their
dedication
and academic
support,
to the
Conference
Award
sponsors,
to EFMA,
providing
theAlbert
necessary
resources,
not only
administratively
physically,
but
also
financially.and
GARP,
Euronext,
Larry
Lang
andUniversiteit
John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
the University
Centre for Finance for
Menkveld,
J.
Vrije
Amsterdam
Stewart,
Scott
D.
Cornell
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP,
Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing
the necessary resources,
not only administratively and physically,
but also
Metrick, Andrew
Yale University
Stork, Philip
A. financially.
providing
the necessary resources,
not only administratively and physically,
but also
financially.Vrije Universiteit Amsterdam
th Annual
Meeting
and
benefit
from
its
challenging
and intellectually
stimulating
programme,
IMichaelides,
hope you will enjoy EFMA’s
24
th
Imperial
College
Stromberg,
Per
University
of Chicago
stimulating
programme,
I hope you will enjoy EFMA’s 24th Annual Meeting and benefit from its challenging and intellectually
and
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit fromSuarez,
its challenging
and
intellectually
stimulating
IAlexander
hope
you you
will all
enjoy
EFMA’s
24th stay
Javier and intellectually
CEMFIstimulating programme,
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging
programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24 stay
and I wish
you all a very pleasant
stay in Breukelen.
Moosa,
Imad
RMIT University
Subrahmanyam,
New York University
and I wish
you all a very pleasant
stay in Breukelen.
Dennis Vink
– EFMA 2015University
Program Chair
Moreno,
Manuel
Castile-La Mancha
Marti G.
Dennis Vink
– EFMA 2015 Program of
Chair
Professor
ofFariborz
Finance
Investment
Dennis Vink
– EFMAand
2015
Program of
Chair
Moshirian,
University
New
South
Wales
Subramaniam, Venkat Tulane University
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Nyenrode
Business
Universiteit
Professor
of
Finance
and
Investment
Muradoglu,
Gulnur
City University, London
Switzer, Lorne
Concordia University
Nyenrode of
Business
Professor
FinanceUniversiteit
and Investment
and
Nyenrode Alfonso
Business Universiteit
Novales,
Universidad
Complutense
de
Szymanowska,
Marta
Erasmus Universiteit
and
Nyenrode
Business Universiteit
Visiting
Professor of Finance,
and
Taffler,
Richard
University of Warwick
Madrid
Visiting Professor of Finance,
and
Moscow
State University
Visiting Professor
of Finance,
Oesch,
David
University
of
Zürich
Tate,
Geoffrey
UNC –Chapel Hill
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
10
1
1
1
1
Tookes, Heather
Torricelli, Costanza
Tran, Anh
Trueck, Stefan
Vaihekoski, Mika
Van den Assem,
Martijn J.
Van der Wel, Michel
Van Dijk, Dick J.C.
Van Dijk, Mathijs A.
Varotto, Simone
Verschoor, Willem C.F.
Verwijmeren, Patrick
Visvikis, Ilias
Walz, Uwe
Wang, Rong
Yale School of Management
University of Modena and
Reggio Emilia
City University, London
Macquarie University
University of Turku
Erasmus Universiteit
Vrije Universiteit Amsterdam
Erasmus Universiteit
World Maritime University
Goethe University Frankfurt
Singapore Management
University
Rijksuniversiteit Groningen
University of St Andrews
Universiteit van Amsterdam
University of Surrey
Columbia University
University of Luxembourg
New York University
Harvard Business School
Yale University
University of British Columbia
University of Chicago
Wessels, Roberto E.
Wilson, John O.S.
Erasmus Universiteit
Winands, Erik
Erasmus Universiteit
Wojakowski, Rafal
2015
Annual
Conference
2015
Annual
Conference
Erasmus Universiteit
Wolfenzon, Daniel
2015
Annual
Conference
June
24
–
27,
2015
2015
Annual
Conference
ICMA Centre,
Henley
Business
Wolff,
Christian
June
24
–
27,
2015
June
24
–
27,
2015
Wurgler,
Jeff
School
University
of
Reading
Nyenrode
Business
June
24 – 27, Universiteit
2015
Nyenrode
Business
Universiteit
Veld, Chris
Monash
University
Xuan,
Yuhai
Nyenrode
Business
Universiteit
Breukelen,
THE NETHERLANDS
NETHERLANDS
Nyenrode
Verbeek, Marno J.C.M. Erasmus
Universiteit Business
Yan,Universiteit
Hongjun
Breukelen,
THE
Breukelen,
THE
NETHERLANDS
Verdelhan, Adrien
MIT Breukelen, THE NETHERLANDS
Ziemba, William T.
Dear
Colleagues
Friends
of the European
Association
(EFMA),
Veredas,
David and
Université
Libre de Financial
Bruxelles Management
Zmijewski,
Mark
E.
Dear Colleagues
and Friends
of the European
Financial
Management
Association
(EFMA),
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
It is a great pleasure and a true privilege for me, on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
It is a great pleasure and a true privilege for me,
on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
th Annual
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sincere
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sincere
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Business
Columbia
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submitted
and to
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University papers
of Oxford,
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IESE,
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sincere gratitude
submitted papers
and to
those
who Cornell
have agreed
to chairMyconference
sessions.goes to all of them as well as to those who
University
of Oxford,
Yale,
IESE,
University.
sincere gratitude
submitted papers and to those who have agreed to chair conference sessions.
submitted papers and to those who have agreed to chair conference sessions.
The refereeing process ultimately led to a selection of 288 papers and a programme consisting of as many as 93 parallel
The refereeing process ultimately led to a selection of 288 papers and a programme consisting of as many as 93 parallel
sessions,
2 keynote
lectures,
3 special
andof1288
keynote
speech,
of which will
be given
academic
The refereeing
process
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programme
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speech,
of which will
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papers
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programme
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many as 93
parallel
specialists
experts
on the3 topics
In addition,
are proud
host the
“Merton
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topics
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H.
Miller”
Doctoral
sessions, 2 keynote lectures, 3 special sessions and 1 keynote speech, all of which will be given by renowned academic
Seminar,
by on
the the
EFMtopics
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to
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we seminar
are proud
the EFM
“MertonforH.PhD
Miller”
Doctoral
Seminar, sponsored
by on
the the
EFMtopics
Journal.
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one-day
is to
an host
excellent
opportunity
students
to
specialists
and experts
concerned.
In addition,
we seminar
are proud
the EFM
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enhance
research
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through
specific
tutorials and
interaction
leading
scholars
of the for
finance
profession.
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sponsored
by the
EFM
Journal.
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one-day
seminarwith
is an
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research
skills
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specific
tutorials and
interaction
leading
scholars
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finance
profession.
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sponsored
by the
EFM
Journal.
This intensive
one-day
seminarwith
is an
excellent
opportunity
PhD students
to
Keynote
for theskills
Doctoral
Seminar’s
programme
are Professor
Stijn Van
Nieuwerburgh
from profession.
New York
enhance lecturers
their research
through
specific 2015
tutorials
and interaction
with leading
scholars
of the finance
Keynote lecturers
for theskills
Doctoral
Seminar’s
programme
are Professor
Stijn Van
Nieuwerburgh
from profession.
New York
enhance
their research
through
specific 2015
tutorials
and interaction
with leading
scholars
of the finance
University
Stern School
of Business
Professor
Ralph
Koijen from
Business
Keynote lecturers
for the
Doctoral and
Seminar’s
2015
programme
areLondon
Professor
Stijn School.
Van Nieuwerburgh from New York
Universitylecturers
Stern School
of Business
Professor
Ralph
Koijen from
Business
Keynote
for the
Doctoral and
Seminar’s
2015
programme
areLondon
Professor
Stijn School.
Van Nieuwerburgh from New York
University Stern School of Business and Professor Ralph Koijen from London Business School.
University Stern School of Business and Professor Ralph Koijen from London Business School.
It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
dedication
the perseverance
of many
of my
colleagues
at Nyenrode.
Specifically,
I wouldand
likeorganizational
to thank Professor
It would be and
impossible
to organize such
a major
conference
without
the technical,
administrative
support,Miša
the
the perseverance
of many
of my
colleagues
at Nyenrode.
Specifically,
I wouldand
likeorganizational
to thank Professor
Itdedication
would be and
impossible
to organize such
a major
conference
without
the technical,
administrative
support,Miša
the
Džoljić,
Rector
Nyenrode
Business
Universiteit,
Professor
Paape,Specifically,
Dean of Nyenrode,
unfailing
support.Miša
My
dedication
and ofthe
perseverance
of many
of my and
colleagues
at Leen
Nyenrode.
I would for
liketheir
to thank
Professor
Džoljić,
Rector
Nyenrode
Business
Universiteit,
Professor
Paape,Specifically,
Dean of Nyenrode,
unfailing
support.Miša
My
dedication
and ofthe
perseverance
of many
of my and
colleagues
at Leen
Nyenrode.
I would for
liketheir
to thank
Professor
heartfelt
thanksofalso
go to Business
Dr. ErkanUniversiteit,
Ertürk fromand
S&P
in NewLeen
YorkPaape,
and theDean
members
of the for
Organizing
Committee;
Džoljić, Rector
Nyenrode
Professor
of Nyenrode,
their unfailing
support.their
My
heartfeltRector
thanksofalso
go to Business
Dr. ErkanUniversiteit,
Ertürk fromand
S&P
in NewLeen
YorkPaape,
and theDean
members
of the for
Organizing
Committee;
Džoljić,
Nyenrode
Professor
of Nyenrode,
their unfailing
support.their
My
invaluable
academic
crucial.
grateful
to Beau
Soederhuizen
for his
work.Committee;
And last buttheir
not
heartfelt thanks
also input
go tohas
Dr.been
Erkan
ErtürkI am
fromalso
S&P
in New
York and
the members
of impressive
the Organizing
invaluablethanks
academic
crucial.
grateful
to Beau
Soederhuizen
for his
work.Committee;
And last buttheir
not
heartfelt
also input
go tohas
Dr.been
Erkan
ErtürkI am
fromalso
S&P
in New
York and
the members
of impressive
the Organizing
least,
I thank
Professor
Doukas,
theI am
EFMA
andtothe
Programme
Co-Chairs
of the 2014
EFMA
invaluable
academic
input John
has been
crucial.
alsostaff
grateful
Beau
Soederhuizen
for his impressive
work.
And conference,
last but not
least, I thank
Professor
Doukas,
theI am
EFMA
andtothe
Programme
Co-Chairs
of the 2014
EFMA
invaluable
academic
input John
has been
crucial.
alsostaff
grateful
Beau
Soederhuizen
for his impressive
work.
And conference,
last but not
Professors
Alessandro
Carretta
Gianluca
theirthe
helpful
support and
prompt advice
needed.
least, I thank
Professor
John and
Doukas,
the Mattarocci,
EFMA staffforand
Programme
Co-Chairs
of the whenever
2014 EFMA
conference,
Professors
Alessandro
Carretta
Gianluca
theirthe
helpful
support and
prompt advice
needed.
least,
I thank
Professor
John and
Doukas,
the Mattarocci,
EFMA staffforand
Programme
Co-Chairs
of the whenever
2014 EFMA
conference,
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Authority
theirlike
valuable
inputmy
for sincere
the special
sessions,
Professors
BoBank,
Becker,
Ralph
Martijn Cremers,
Van
Finally, I for
would
to extend
thanks
to thetoDutch
Central
IMF,
andKoijen,
the European
SecuritiesStijn
Market
AuthorityI for
theirlike
valuable
inputmy
for sincere
the special
sessions,
Professors
BoBank,
Becker,
Ralph
Martijn Cremers,
Van
Finally,
would
to extend
thanks
to thetoDutch
Central
IMF,
andKoijen,
the European
SecuritiesStijn
Market
Nieuwerburgh
andvaluable
Malcolminput
Baker
dedication
andtoacademic
support,
to theRalph
Conference
EFMA,
Authority for their
forfor
thetheir
special
sessions,
Professors
Bo Becker,
Koijen, Award
Martijnsponsors,
Cremers, to
Stijn
Van
Nieuwerburgh
andvaluable
Malcolminput
Baker
dedication
andtoacademic
support,
to theRalph
Conference
EFMA,
Authority
for their
forfor
thetheir
special
sessions,
Professors
Bo Becker,
Koijen, Award
Martijnsponsors,
Cremers, to
Stijn
Van
GARP,
Euronext,
LangBaker
and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
GARP, Euronext,
LangBaker
and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP, Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP,
Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing the necessary resources, not only administratively and physically, but also financially.
providing the necessary resources, not only administratively and physically, but also financially.
I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I hope you will enjoy EFMA’s 24th Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24th stay
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24 stay
and I wish you all a very pleasant stay in Breukelen.
and I wish you all a very pleasant stay in Breukelen.
Dennis Vink – EFMA 2015 Program Chair
Dennis Vink – EFMA 2015 Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Nyenrode of
Business
Professor
FinanceUniversiteit
and Investment
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
Visiting
Professor of Finance,
and
Visiting Professor of Finance,
and
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
11
1
1
1
1
2015 Organizing Committee
Prof. Ivo Arnold
Prof. Ivo de Loo
Prof. André Thibeault
Prof. Roland Speklé
Erasmus School of Economics / Nyenrode Business Universiteit
Nyenrode Business Universiteit
Vlerick Business School
Nyenrode Business Universiteit
2015
Annual
Conference
2015
Annual
Conference
Annual
Conference
Publishers
Conference Exhibitors 2015
Advertising
June
24
–
27,
2015
2015
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June
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Business
Universiteit
June
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Dear Colleagues and Friends of the European Financial Management Association (EFMA),
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and Publishing
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Dear Colleagues and Friends of the European Financial Management Association (EFMA),
ItSpringer
is a great
pleasure
and a true privilege for me, on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
Verlag
GmbH
It is a great pleasure and a true privilege for me,
on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
th Annual
Meeting.
call foratpapers,
weBusiness
received Universiteit,
an impressive
welcome
youpleasure
to Breukelen
EFMA’sfor24me,
ItStock-Track
is a great
and a and
true to
privilege
on behalf
of the Following
Centre forour
Finance
Nyenrode
to
th Annual
Meeting.
call foratpapers,
weBusiness
received Universiteit,
an impressive
youpleasure
to Breukelen
EFMA’sfor24me,
Itwelcome
is a great
and a and
true to
privilege
on behalf
of the Following
Centre forour
Finance
Nyenrode
to
number
high-quality
manuscripts,
and this
theMeeting.
refereeing
processour
a highly
indeed.
All papers
Annual
Following
call forchallenging
papers, we task
received
an impressive
welcomeofyou
to Breukelen
and to EFMA’s
24ththmade
number
high-quality
manuscripts,
and this
theMeeting.
refereeing
processour
a highly
indeed.
All papers
Annual
Following
call forchallenging
papers, we task
received
an impressive
welcomeofyou
to Breukelen
and to EFMA’s
24 made
submitted
reviewed
blindly by the
members
of EFMA’sprocess
Programme
Committee,
who task
hail from
topAll
academic
number of were
high-quality
manuscripts,
andexpert
this made
the refereeing
a highly
challenging
indeed.
papers
submittedof were
reviewed
blindly by the
members
of EFMA’sprocess
Programme
Committee,
who task
hail from
topAll
academic
number
high-quality
manuscripts,
andexpert
this made
the refereeing
a highly
challenging
indeed.
papers
institutions
suchreviewed
as New blindly
York University,
Harvard
Business
School,Programme
MIT, Stanford
University,
School,
London
submitted were
by the expert
members
of EFMA’s
Committee,
whoWharton
hail from
top academic
institutionswere
suchreviewed
as New blindly
York University,
Harvard
Business
School,Programme
MIT, Stanford
University,
School,
London
submitted
by the expert
members
of EFMA’s
Committee,
whoWharton
hail from
top academic
Business
KongSchool,
University,
School of Wharton
Economics,
HECLondon
Paris,
institutionsSchool,
such asColumbia
New YorkUniversity,
University,INSEAD,
HarvardHong
Business
MIT, Stockholm
Stanford University,
School,
Business School,
KongSchool,
University,
School of Wharton
Economics,
HECLondon
Paris,
institutions
such asColumbia
New YorkUniversity,
University,INSEAD,
HarvardHong
Business
MIT, Stockholm
Stanford University,
School,
University
of Oxford,
Yale, IESE,
CornellINSEAD,
University.
My Kong
sincere
gratitude Stockholm
goes to allSchool
of themof as
well as toHEC
thoseParis,
who
Business School,
Columbia
University,
Hong
University,
Economics,
University School,
of Oxford,
Yale, IESE,
CornellINSEAD,
University.
My Kong
sincere
gratitude Stockholm
goes to allSchool
of themof as
well as toHEC
thoseParis,
who
Business
Columbia
University,
Hong
University,
Economics,
submitted
and to
those
who Cornell
have agreed
to chairMyconference
sessions.goes to all of them as well as to those who
University papers
of Oxford,
Yale,
IESE,
University.
sincere gratitude
submitted papers
and to
those
who Cornell
have agreed
to chairMyconference
sessions.goes to all of them as well as to those who
University
of Oxford,
Yale,
IESE,
University.
sincere gratitude
submitted papers and to those who have agreed to chair conference sessions.
submitted papers and to those who have agreed to chair conference sessions.
The refereeing process ultimately led to a selection of 288 papers and a programme consisting of as many as 93 parallel
The refereeing process ultimately led to a selection of 288 papers and a programme consisting of as many as 93 parallel
sessions,
2 keynote
lectures,
3 special
andof1288
keynote
speech,
of which will
be given
academic
The refereeing
process
ultimately
led tosessions
a selection
papers
and a all
programme
consisting
of by
as renowned
many as 93
parallel
sessions,
2 keynote
lectures,
3 special
andof1288
keynote
speech,
of which will
be given
academic
The
refereeing
process
ultimately
led tosessions
a selection
papers
and a all
programme
consisting
of by
as renowned
many as 93
parallel
specialists
experts
on the3 topics
In addition,
are proud
host the
“Merton
H. Miller”academic
Doctoral
sessions, 2and
keynote
lectures,
specialconcerned.
sessions and
1 keynotewespeech,
all oftowhich
will EFM
be given
by renowned
specialists
and
experts
on
the
topics
concerned.
In
addition,
we
are
proud
to
host
the
EFM
“Merton
H.
Miller”
Doctoral
sessions, 2 keynote lectures, 3 special sessions and 1 keynote speech, all of which will be given by renowned academic
Seminar,
by on
the the
EFMtopics
Journal.
This intensive
one-day
is to
an host
excellent
opportunity
students
to
specialistssponsored
and experts
concerned.
In addition,
we seminar
are proud
the EFM
“MertonforH.PhD
Miller”
Doctoral
Seminar, sponsored
by on
the the
EFMtopics
Journal.
This intensive
one-day
is to
an host
excellent
opportunity
students
to
specialists
and experts
concerned.
In addition,
we seminar
are proud
the EFM
“MertonforH.PhD
Miller”
Doctoral
enhance
research
skills
through
specific
tutorials and
interaction
leading
scholars
of the for
finance
profession.
Seminar, their
sponsored
by the
EFM
Journal.
This intensive
one-day
seminarwith
is an
excellent
opportunity
PhD students
to
enhance their
research
skills
through
specific
tutorials and
interaction
leading
scholars
of the for
finance
profession.
Seminar,
sponsored
by the
EFM
Journal.
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seminarwith
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PhD students
to
Keynote
for theskills
Doctoral
Seminar’s
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from profession.
New York
enhance lecturers
their research
through
specific 2015
tutorials
and interaction
with leading
scholars
of the finance
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Nieuwerburgh
from profession.
New York
enhance
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specific 2015
tutorials
and interaction
with leading
scholars
of the finance
University
Stern School
of Business
Professor
Ralph
Koijen from
Business
Keynote lecturers
for the
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areLondon
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Universitylecturers
Stern School
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Professor
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University Stern School of Business and Professor Ralph Koijen from London Business School.
University Stern School of Business and Professor Ralph Koijen from London Business School.
It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
dedication
the perseverance
of many
of my
colleagues
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I wouldand
likeorganizational
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It would be and
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administrative
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the
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Itdedication
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the
Džoljić,
Rector
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Professor
Paape,Specifically,
Dean of Nyenrode,
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support.Miša
My
dedication
and ofthe
perseverance
of many
of my and
colleagues
at Leen
Nyenrode.
I would for
liketheir
to thank
Professor
Džoljić,
Rector
Nyenrode
Business
Universiteit,
Professor
Paape,Specifically,
Dean of Nyenrode,
unfailing
support.Miša
My
dedication
and ofthe
perseverance
of many
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colleagues
at Leen
Nyenrode.
I would for
liketheir
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Professor
heartfelt
thanksofalso
go to Business
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in NewLeen
YorkPaape,
and theDean
members
of the for
Organizing
Committee;
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Nyenrode
Professor
of Nyenrode,
their unfailing
support.their
My
heartfeltRector
thanksofalso
go to Business
Dr. ErkanUniversiteit,
Ertürk fromand
S&P
in NewLeen
YorkPaape,
and theDean
members
of the for
Organizing
Committee;
Džoljić,
Nyenrode
Professor
of Nyenrode,
their unfailing
support.their
My
invaluable
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crucial.
grateful
to Beau
Soederhuizen
for his
work.Committee;
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not
heartfelt thanks
also input
go tohas
Dr.been
Erkan
ErtürkI am
fromalso
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invaluable
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alsostaff
grateful
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Soederhuizen
for his impressive
work.
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last but not
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Programme
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of the 2014
EFMA
invaluable
academic
input John
has been
crucial.
alsostaff
grateful
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Soederhuizen
for his impressive
work.
And conference,
last but not
Professors
Alessandro
Carretta
Gianluca
theirthe
helpful
support and
prompt advice
needed.
least, I thank
Professor
John and
Doukas,
the Mattarocci,
EFMA staffforand
Programme
Co-Chairs
of the whenever
2014 EFMA
conference,
Professors
Alessandro
Carretta
Gianluca
theirthe
helpful
support and
prompt advice
needed.
least,
I thank
Professor
John and
Doukas,
the Mattarocci,
EFMA staffforand
Programme
Co-Chairs
of the whenever
2014 EFMA
conference,
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Authority
theirlike
valuable
inputmy
for sincere
the special
sessions,
Professors
BoBank,
Becker,
Ralph
Martijn Cremers,
Van
Finally, I for
would
to extend
thanks
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IMF,
andKoijen,
the European
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for sincere
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Finally,
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to extend
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andKoijen,
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andvaluable
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andvaluable
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forfor
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Stijn
Van
GARP,
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and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
GARP, Euronext,
LangBaker
and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP, Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP,
Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing the necessary resources, not only administratively and physically, but also financially.
providing the necessary resources, not only administratively and physically, but also financially.
I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I hope you will enjoy EFMA’s 24th Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24th stay
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24 stay
and I wish you all a very pleasant stay in Breukelen.
and I wish you all a very pleasant stay in Breukelen.
Dennis Vink – EFMA 2015 Program Chair
Dennis Vink – EFMA 2015 Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Nyenrode of
Business
Professor
FinanceUniversiteit
and Investment
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
Visiting
Professor of Finance,
and
Visiting Professor of Finance,
and
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
12
1
1
1
1
2015
Annual
Conference
2015
Annual
Conference
2015
Annual
Conference
June
24
–
27,
2015
2015
Annual
Conference
June
24
–
27,
2015
June
24
–
27,
2015
Nyenrode
Business
Universiteit
June
24
–
27,
2015
Nyenrode
Business
Universiteit
Nyenrode
Business
Universiteit
Breukelen,
THE NETHERLANDS
NETHERLANDS
Nyenrode Business
Universiteit
Breukelen,
THE
Breukelen,
THE
NETHERLANDS
Breukelen, THE NETHERLANDS
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
It is a great pleasure and a true privilege for me, on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
It is a great pleasure and a true privilege for me,
on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
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FINANCIAL
MANAGEMENT
Professors Alessandro Carretta and Gianluca Mattarocci,
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thanks to the Dutch Central Bank, IMF, and the European Securities Market
Authority
theirlike
valuable
inputmy
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the special
sessions,
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BoBank,
Becker,
Ralph
Martijn Cremers,
Van
Finally, I for
would
to extend
thanks
to thetoDutch
Central
IMF,
andKoijen,
the European
SecuritiesStijn
Market
AuthorityI for
theirlike
valuable
inputmy
for sincere
the special
sessions,
Professors
BoBank,
Becker,
Ralph
Martijn Cremers,
Van
Finally,
would
to extend
thanks
to thetoDutch
Central
IMF,
andKoijen,
the European
SecuritiesStijn
Market
Nieuwerburgh
andvaluable
Malcolminput
Baker
dedication
andtoacademic
support,
to theRalph
Conference
EFMA,
Authority for their
forfor
thetheir
special
sessions,
Professors
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Koijen, Award
Martijnsponsors,
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Stijn
Van
Nieuwerburgh
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EFMA,
Authority
for their
forfor
thetheir
special
sessions,
Professors
Bo Becker,
Koijen, Award
Martijnsponsors,
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Stijn
Van
GARP,
Euronext,
LangBaker
and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
GARP, Euronext,
LangBaker
and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and
academic
support,
to the
Conference
sponsors,
to EFMA,
Location
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP, Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP,
Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
Nyenrode
Business
Universiteit
providing the necessary resources, not
only administratively
and physically,
but also financially.
providing the necessary resources, not only administratively and physically, but also financially.
Meeting
and
benefit
from
its
challenging
stimulating programme,
I hope you will enjoy EFMA’s 24thth Annual
Straatweg
25,benefit
Breukelen,
3621 and
BGintellectually
Meeting and
from its challenging
and
intellectually stimulating programme,
I hope you will enjoy EFMA’s 24th Annual
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24th stay
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24 stay
and I wish you all a very pleasant stay in Breukelen. Netherlands
and I wish you all a very pleasant stay in Breukelen.
Dennis Vink – EFMA 2015 Program Chair
Dennis Vink – EFMA 2015 Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Nyenrode of
Business
Professor
FinanceUniversiteit
and Investment
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
Visiting
Professor of Finance,
and
Visiting Professor of Finance,
and
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
13
1
2015 “MERTON H MILLER”
DOCTORAL SEMINAR
PROGRAM
1
1
1
Doctorate Seminar Tutorial Sessions
June 24, 2015
07:45 - 08:00
PhD Program Matrix
SESSIONS 2015 Annual Conference
2015
Annual
Conference
PhD Students Meeting:
Instructions
2015 Registration
Annual& Seminar
Conference
June
24
–
27,
2015
2015
Annual
Conference
June
24
–
27,
2015
June
24
–
27,
2015
08:15 - 09:30
SessionNyenrode
1
Business
Universiteit
June
24
–
27,
2015
Nyenrode
Business
Universiteit
KeynoteNyenrode
Lecture#1
Business
Universiteit
Breukelen,
THE
NETHERLANDS
Nyenrode
Business
Universiteit
Professor
Ralph Koijen, London
Business
School
Breukelen,
THE
NETHERLANDS
Breukelen,
THE
NETHERLANDS
"Institutional
Investors in Asset
Markets"
Breukelen,
THE
NETHERLANDS
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Room: Neelie Kroes Hal
Room: Coach House
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
09:30
- 10:00
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Dear Colleagues
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Dear Colleagues and Friends of the European Financial Management Association (EFMA),
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13:00pleasure and
A Sessions
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organize Lecture#2
such a major
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and
panel discussion
It would be impossible to organize such a major
conference
without the technical, administrative and organizational support, the
dedication
the perseverance
of
many
ofNieuwerburgh,
my
colleagues
at Nyenrode.
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I wouldand
likeorganizational
to thank Professor
It would be and
impossible
toProfessor
organize such
aVan
major
conference
without
the
technical,
administrative
support,Miša
the
Stijn
NYU
Stern
School
of Business
the perseverance
of
many
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colleagues
at Nyenrode.
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I wouldand
likeorganizational
to thank Professor
Itdedication
would be and
impossible
to organize such
a major
conference
without
the
technical,
administrative
support,Miša
the
Džoljić,
Rector
Nyenrode
Business
Universiteit,
and
Professor
Leen
Paape,
Dean
of
Nyenrode,
for
their
unfailing
support.
My
dedication
and ofthe
perseverance
of
many
of
my
colleagues
at
Nyenrode.
Specifically,
I
would
like
to
thank
Professor
Miša
"House
Prices
andofFundamentals:
Realities
andSpecifically,
Policy
Džoljić,
Rector
Nyenrode
Business
Universiteit,
Professor
Leen
Paape,
Dean ofResponses"
Nyenrode,
unfailing
support.Miša
My
dedication
and ofthe
perseverance
of many
my and
colleagues
at
Nyenrode.
I would for
liketheir
to thank
Professor
heartfelt
thanksofalso
go to Business
Dr. ErkanUniversiteit,
Ertürk fromand
S&P
in NewLeen
YorkPaape,
and theDean
members
of the for
Organizing
Committee;
Džoljić, Rector
Nyenrode
Professor
of Nyenrode,
their unfailing
support.their
My
heartfeltRector
thanksofalso
go to Business
Dr. ErkanUniversiteit,
Ertürk fromand
S&P
in NewLeen
YorkPaape,
and theDean
members
of the for
Organizing
Committee;
Džoljić,
Nyenrode
Professor
of Nyenrode,
their unfailing
support.their
My
invaluable
academic
input
has
been
crucial.
I
am
also
grateful
to
Beau
Soederhuizen
for
his
impressive
work.
And
last
but
not
heartfelt
thanks
also
go
to
Dr.
Erkan
Ertürk
from
S&P
in
New
York
and
the
members
of
the
Organizing
Committee;
their
19:45
- 20:00
3 crucial.
Room:
House
A
invaluable
academic
grateful
to Beau
Soederhuizen
for his
work.Coach
And last
buttheir
not
heartfelt
thanks
also input
goSession
tohas
Dr.been
Erkan
ErtürkI am
fromalso
S&P
in New
York and
the members
of impressive
the Organizing
Committee;
least,
I thank
Professor
John
Doukas,
the
EFMA
staff
andtoCeremony
the
Programme
Co-Chairs
of the 2014
EFMA
invaluable
academic
input
has"Merton
been
crucial.
I am
also
grateful
Beau
Soederhuizen
for his impressive
work.
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last but not
2015
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Miller"
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least, I thank
Professor
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EFMA
andtothe
Programme
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of the 2014
EFMA
invaluable
academic
input John
has been
crucial.
alsostaff
grateful
Beau
Soederhuizen
for his impressive
work.
And conference,
last but not
Professors
Alessandro
Carretta
Gianluca
theirthe
helpful
support and
prompt advice
needed.
least, I thank
Professor
John and
Doukas,
the Mattarocci,
EFMA staffforand
Programme
Co-Chairs
of the whenever
2014 EFMA
conference,
Professors
Alessandro
Carretta
Gianluca
theirthe
helpful
support and
prompt advice
needed.
least,
I thank
Professor
John and
Doukas,
the Mattarocci,
EFMA staffforand
Programme
Co-Chairs
of the whenever
2014 EFMA
conference,
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Finally,
I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Authority
theirlike
valuable
inputmy
for sincere
the special
sessions,
Professors
BoBank,
Becker,
Ralph
Martijn Cremers,
Van
Finally, I for
would
to extend
thanks
to thetoDutch
Central
IMF,
andKoijen,
the European
SecuritiesStijn
Market
AuthorityI for
theirlike
valuable
inputmy
for sincere
the special
sessions,
Professors
BoBank,
Becker,
Ralph
Martijn Cremers,
Van
Finally,
would
to extend
thanks
to thetoDutch
Central
IMF,
andKoijen,
the European
SecuritiesStijn
Market
Nieuwerburgh
andvaluable
Malcolminput
Baker
dedication
andtoacademic
support,
to theRalph
Conference
EFMA,
Authority for their
forfor
thetheir
special
sessions,
Professors
Bo Becker,
Koijen, Award
Martijnsponsors,
Cremers, to
Stijn
Van
Nieuwerburgh
andvaluable
Malcolminput
Baker
dedication
andtoacademic
support,
to theRalph
Conference
EFMA,
Authority
for their
forfor
thetheir
special
sessions,
Professors
Bo Becker,
Koijen, Award
Martijnsponsors,
Cremers, to
Stijn
Van
GARP,
Euronext,
LangBaker
and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
GARP, Euronext,
LangBaker
and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP, Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP,
Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing the necessary resources, not only administratively and physically, but also financially.
providing the necessary resources, not only administratively and physically, but also financially.
I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I hope you will enjoy EFMA’s 24th Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24th stay
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24 stay
and I wish you all a very pleasant stay in Breukelen.
and I wish you all a very pleasant stay in Breukelen.
Dennis Vink – EFMA 2015 Program Chair
Dennis Vink – EFMA 2015 Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Nyenrode of
Business
Professor
FinanceUniversiteit
and Investment
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
Visiting
Professor of Finance,
and
Visiting Professor of Finance,
and
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
14
1
1
1
1
Wednesday June 24, 2015
Student Meeting
Registration & Seminar Instructions
Participants
All PhD Students must attend!
SESSION 1
"Institutional Investors in Asset Markets"
Keynote Lecture#1
Participants
Coffee Break
Ralph Koijen, London Business School
2015
Annual
Conference
All PhD Students
must attend!
2015
Annual
Conference
2015
Conference
Location: Coach
HouseAnnual
Stal
June
24
–
27,
2015
2015
Annual
Conference
June
24
–
27,
2015
June
24
–
27,
2015
Nyenrode
Business
Universiteit
June
24
–
27,
2015
SESSION A1
Group#1:
Corporate
Finance
Nyenrode
Business
Universiteit
Nyenrode
Business
Universiteit
Breukelen,
THE NETHERLANDS
NETHERLANDS
Nyenrode
Business
Universiteit
Breukelen,
THE
Instructors
Leonidas
Barbopoulos, University
ofNETHERLANDS
St Andrews
Breukelen,
THE
THE NETHERLANDS
Email:Breukelen,
lb90@st-andrews.ac.uk
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
07:45 - 8:00,
Room Neelie Kroes Hal
08:15 - 9:30,
Room Coach House A
09:30-10:00
10:00 - 13:00,
Room Coach House A
Dear Colleagues and Friends
the European
Financial
Management Association (EFMA),
HalitofGonenc,
University
of Groningen
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Dear Colleagues and Friends
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A2 Professor
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Alessandro
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Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Professors
Alessandro Carretta
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for their
helpful
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Instructors
Ines
Chaieb,
University
of
Geneva
and
SFI
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Finally, I would like to extend
my
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Email:
ines.chaieb@unige.ch
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Larry Lang
and
John
Doukas,
and
finally
to
Nyenrode
Business
Universiteit
and
the
Centre
for
Finance
for
Email:efarka@fullerton.edu
providing the necessary resources,
not only administratively and physically, but also financially.
providing the necessary resources,
not
only
administratively
and
physically,
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also
financially.
Julapa
Federal and
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Philadelphia
Annual Meeting
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I hope you will enjoy EFMA’s
24Julapa.jagtiani@phil.frb.org
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th
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a very
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in Breukelen.
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Iand
hope
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will all
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Iand
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24 (John)
A. Can
Bryant
University
of Business
- College
and I wish you all a very pleasant
stay in Inci,
Breukelen.
and I wish you all a very pleasant
stay in Breukelen.
Email:
ainci@bryant.edu
Dennis Vink – EFMA 2015 Program Chair
Dennis Vink – EFMA 2015
ProgramLobe,
Chair
Sebastian
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program ChairUniversity of Leicester
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program
Chair
sl504@le.ac.uk;
sebastian.lobe@wiwi.uni-regensburg.de
Nyenrode
Business
Professor of
FinanceUniversiteit
andEmail:
Investment
Nyenrode
Business
Universiteit
Professor
of
Finance
and
Investment
Presentations
International
Cross-Listing:
Evidence from the People’s Republic of China
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
Vladimir
Pazitka,
University
of
Birmingham
Visiting
Professor of Finance,
and
Visiting Professor of Finance,
and
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
15
1
1
1
1
Participants
SESSION A3
International Financial Integration and Portfolio Diversification in Fixed Income Markets
Zhaowen Qian, Erasmus University Rotterdam
Vladimir Pazitka, University of Birmingham
Zhaowen Qian, Erasmus University Rotterdam
Patrycja Klusak, Bangor Business School, Bangor University
Amir Akbari, McGill University
Group #3: Capital Markets and Portfolio Investments
2015
Annual
Conference
2015
Annual
Conference
Instructors
Manuel Rocha
Armada,
University
of
Minho
2015
Annual
Conference
June
24
–
27,
2015
2015
Annual
Conference
Email: rarmada@eeg.uminho.pt;mjrarmada@gmail.com
June
24
–
27,
2015
June
24
–
27,
2015
Albert Nyenrode
Menkveld, VU
University
Amsterdam
Business
Universiteit
June
24
–
27,
2015
Nyenrode
Business
Universiteit
Email: Nyenrode
albertjmenkveld@gmail.com
Business
Universiteit
Breukelen,
THE
NETHERLANDS
Nyenrode
Business
Universiteit
Maurizio
Montone, Erasmus
School NETHERLANDS
of Economics
Breukelen,
THE
Breukelen,
THE
NETHERLANDS
Email:Breukelen,
montone@ese.eur.nlTHE NETHERLANDS
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
10:00 - 13:00,
Room Coach House B
Valerio
Potì,
University
CollegeManagement
Dublin
Dear Colleagues and Friends
of the
European
Financial
Association (EFMA),
Dear Colleagues and Friends
of valerio.poti@ucd.ie
the European Financial Management Association (EFMA),
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Dear Colleagues and Friends of the European Financial Management Association (EFMA),
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heartfelt
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members
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their
Džoljić, Rector
Nyenrode
Business
Universiteit,
and
Professor
Leen
Paape,
Dean
of
Nyenrode,
for
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unfailing
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Email:
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heartfeltRector
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of Nyenrode,
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go to
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Erkan
Ertürk
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members
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Halit
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University
of Groningen
invaluablethanks
academic
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Professor
John
Doukas,
the
EFMA
staff
Programme
Co-Chairs
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the
2014
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Grira,
UAE
University
Professors
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Carretta
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theirthe
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the Mattarocci,
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2014 EFMA
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Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Email:and
jocelyn.grira@uaeu.ac.ae
Professors Alessandro Carretta
Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Finally, I would like to extend
my sincere
to the Dutch
Central Bank, IMF, and the European Securities Market
Masatoshi
Kurusu,thanks
Ryutsu-Kagaku
University
Finally, I would like to extend my sincere
thanks
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andAward
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Doukas,
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Nyenrode
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William
University
providing
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John
Doukas,
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Nyenrode
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providing the necessary resources,
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Email: wmegginson@ou.edu
providing the necessary resources,
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I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
Liu
Wang,
Providence
College,
School
of Business
Meeting
and benefit
from
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I hope you will enjoy EFMA’s 24th Annual
I wish
a very
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24lwang@providence.edu
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Email:
I wish
a very
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in Breukelen.
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hope
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and I wish you all a very pleasant stay in Breukelen.
Presentations
The Market
of Technological Innovation, Evidence from European Patents
and
I wish you all a very pleasant
stayValue
in Breukelen.
Dennis Vink – EFMA 2015 Program Chair
Sabrine
Rekik,
University Of Paris Dauphine
Dennis Vink – EFMA 2015
Program
Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Timing of IPO: Preliminary Evidence from Alternative Investment
Nyenrode of
Business
Professor
FinanceUniversiteit
andOptimal
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Nyenrode Business Universiteit
Xingang
and
Nyenrode
Business Universiteit Wang, University of Surrey
Visiting
Professor of Finance,
and
Visiting
Professor of Finance,
Participants
Christian Wilk, Frankfurt School of Finance & Management gGmbH
and
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
Jingsi Leng, University of Hull
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
16
1
1
1
1
Sabrine Rekik, University Of Paris Dauphine
Xingang Wang, University of Surrey
Sushil Sainani, University of Liverpool
SESSION B2
Group #2: International Finance and Credit Rating Agencies
Instructors
14:30 - 16:30,
Room Castle (Zaal 14)
Ines Chaieb, University of Geneva and SFI
Email: ines.chaieb@unige.ch
John Doukas,2015
EFM, ODU
Business School
Annual
Conference
2015
Annual
Conference
Email: jdoukas@odu.edu
2015
Annual
Conference
June
24
–
27,
2015
2015
Annual
Conference
Mira Farka, California
State University,
Fullerton
June
24
–
27,
2015
June
24
–
27,
2015
Email:efarka@fullerton.edu
Nyenrode
Business
Universiteit
June
24
–
27,
2015
Nyenrode
Business
Universiteit
JulapaNyenrode
Jagtiani, Federal Reserve
Bank of Philadelphia
Business
Universiteit
THE NETHERLANDS
NETHERLANDS
Nyenrode
Business
Universiteit
Email:Breukelen,
Julapa.jagtiani@phil.frb.org
Breukelen,
THE
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THE
NETHERLANDS
A. CanBreukelen,
(John) Inci, Bryant University
- College of Business
THE NETHERLANDS
Dear Colleagues and Friends
of ainci@bryant.edu
the European Financial Management Association (EFMA),
Email:
Dear Colleagues and Friends
of the European Financial Management Association (EFMA),
Dear Colleagues and Friends
of the European
Financial
Management Association (EFMA),
Sebastian
Lobe, University
of Leicester
Dear Colleagues and Friends
of the European
Financial
Management Association (EFMA),
It is a great pleasure andEmail:
a truesl504@le.ac.uk;
privilege for me,sebastian.lobe@wiwi.uni-regensburg.de
on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
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colleagues
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Miša
Email:
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heartfelt
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Dr.
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in
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York
and
the
members
of
the
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Committee;
their
Džoljić,
Rector
of
Nyenrode
Business
Universiteit,
and
Professor
Leen
Paape,
Dean
of
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support.
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heartfelt
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Professor
Paape,
of Nyenrode,
their unfailing
support.their
My
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am
also
grateful
to
Beau
Soederhuizen
for
his
impressive
work.
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last
but
not
heartfelt thanks
also input
go to
Dr.
Erkan
Ertürk
from
S&P
in
New
York
and
the
members
of
the
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Committee;
their
Evangelia
Mitodima,
University
Kent
invaluablethanks
academic
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grateful
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Soederhuizen
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EFMA
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invaluable
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alsostaff
grateful
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theI am
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Programme
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invaluable
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alsostaff
grateful
Beau
Soederhuizen
for his impressive
work.
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last but not
Professors
Alessandro
Carretta
and
Gianluca
Mattarocci,
for
their
helpful
support
and
prompt
advice
whenever
needed.
least, I thank
Professor
John
Doukas,
the
EFMA
staff
and
the
Programme
Co-Chairs
of
the
2014
EFMA
conference,
Asset
Allocation
Contagion
Professors
Alessandro
Carretta
Gianluca
Mattarocci,
their
helpful
support and
prompt advice
needed.
least,
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Professor
John and
Doukas,
theunder
EFMAFinancial
staffforand
the
Programme
Co-Chairs
of the whenever
2014 EFMA
conference,
Professors Alessandro Carretta
and Gianluca
Mattarocci,
for their helpful
support and prompt advice whenever needed.
Netherlands
Zhenzhen
Fan, University
of Amsterdam,
Professors Alessandro Carretta
and Gianluca
Mattarocci,
for their helpful
support and prompt advice whenever needed.
Finally,
I
would
like
to
extend
my
sincere
thanks
to
the
Dutch
Central
Bank,
IMF, and ofthe
European
Securities Market
Participants
Thomas
Bonesire,
HEC
Management
School
the University
Liège
(HEC-ULg)
Finally, I would like to extend my sincere thanks to the Dutch Central ofBank,
IMF, and the
European
Securities Market
Authority
theirlike
valuable
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for sincere
the special
sessions,
toDutch
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BoBank,
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Koijen,
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Van
Finally, I for
would
to extend
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IMF,
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Market
Sven
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School
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theirlike
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Martijn Cremers,
Van
Finally,
would
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thanks
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thetoDutch
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andKoijen,
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andvaluable
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Baker
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the
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Award
sponsors,
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Becker,
Ralph
Koijen,
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Cremers,
Stijn
Van
Evangelia
Mitodima,
University
Kent
Nieuwerburgh
andvaluable
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Baker
their
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Conference
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GARP,
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Doukas,
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to Nyenrode
Business
Universiteit
andAward
the Centre
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Malcolm
forFan,
their
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sponsors,
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University
Amsterdam,
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Business
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andAward
the Centre
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Malcolm
Baker
for their
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support,
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Conference
sponsors,
to EFMA,
providing
the necessary
resources,
not only
administratively
and
physically,
but also
financially.and the Centre for Finance for
GARP, Euronext,
Larry Lang
and
John
Doukas,
and
finally
to
Nyenrode
Business
Universiteit
Anthony
Bellofatto,
Louvain
School
of physically,
Management,
Université
Catholique
Louvain
providing
the necessary
resources,
not only
administratively
but also
financially.
GARP,
Euronext,
Larry Lang
and John
Doukas,
and finally
toand
Nyenrode
Business
Universiteit
and the de
Centre
for Finance for
providing the necessary resources, not only administratively and physically, but also financially.
providing the necessary resources, not only administratively and physically, but also financially.
I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
Break
Location:
Coach Meeting
House Stal
- 17:00programme,
and benefit from its challenging and intellectually16:30
stimulating
I Coffee
hope you
will enjoy EFMA’s
24th Annual
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24th stay
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
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24 stay
and I wish you all a very pleasant stay in Breukelen.
SESSION
C1 all a very pleasant
Group#1:
Corporate
Finance
17:00 - 18:00,
and
I wish you
stay
in Breukelen.
Dennis Vink – EFMA 2015 Program Chair
Room Coach House A
Dennis Vink – EFMA 2015 Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Instructors
Leonidas
Barbopoulos,
University of St Andrews
Professor
of Finance
Investment
Dennis
Vink
– EFMAand
2015
Program
Chair
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
lb90@st-andrews.ac.uk
Nyenrode of
Business
Professor
FinanceUniversiteit
andEmail:
Investment
and
Nyenrode Business Universiteit
Halit
Gonenc,
University of Groningen
and
Nyenrode
Business Universiteit
Visiting
Professor of Finance,
and
Email: h.gonenc@rug.nl
Visiting Professor of Finance,
and
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
17
1
1
1
1
Jocelyn Grira, UAE University
Email: jocelyn.grira@uaeu.ac.ae
Masatoshi Kurusu, Ryutsu-Kagaku University
Email: 5289mkmk@gmail.com
Gianluca Mattarocci, University of Rome Tor Vergata
Email : gianluca.mattarocci@uniroma2.it
William Megginson, University of Oklahoma
Email: wmegginson@ou.edu
Liu Wang, Providence
College,
SchoolConference
of Business
2015
Annual
2015
Annual
Conference
Email: lwang@providence.edu
2015
Annual
Conference
24
–
27,
2015
Annual
Conference
Presentations
The Effect of2015
ChiefJune
Financial
Officers
on Corporate
Cash Holdings
June
24
–
27,
2015
June
24
–
27,
2015
SushilNyenrode
Sainani, University
of
Liverpool
Business
June
24 – 27, Universiteit
2015
Nyenrode
Business
Participants
Christian
Wilk, Frankfurt School
of Finance &Universiteit
Management gGmbH
Nyenrode
Business
Universiteit
Breukelen,
THE
NETHERLANDS
Nyenrode
Business
Universiteit
JingsiBreukelen,
Leng, University of Hull
THE
NETHERLANDS
Breukelen,
THE
NETHERLANDS
Sabrine
Rekik, University OfTHE
Paris Dauphine
Breukelen,
NETHERLANDS
Dear Colleagues and Friends
of theWang,
European
Financial
Management Association (EFMA),
Xingang
University
of Surrey
Dear Colleagues and Friends
of the European
Financial
Management Association (EFMA),
Dear Colleagues and Friends
of the
European
Financial
Management Association (EFMA),
Sushil
Sainani,
University
of Liverpool
Dear Colleagues and Friends
of the
European
Financial
Management Association (EFMA),
It is a great pleasure and a true privilege for me, on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
It is a great pleasure and a true privilege for me,
on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
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one-day
seminar
is
an
excellent
opportunity
for
PhD
students
to
Sebastian
Lobe,
University
of Leicester
enhance their
research
skills
through
specific
tutorials
and
interaction
leading
scholars
of the for
finance
profession.
Seminar,
sponsored
by the
EFM
Journal.
This intensive
one-day
seminarwith
is an
excellent
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PhD students
to
Keynote
for theskills
Doctoral
Seminar’s
programme
are Professor
Stijn Van
Nieuwerburgh
from profession.
New York
enhance lecturers
their research
through
specific 2015
tutorials
and interaction
with leading
scholars
of the finance
Email:
sl504@le.ac.uk;
sebastian.lobe@wiwi.uni-regensburg.de
Keynote lecturers
for theskills
Doctoral
Seminar’s
programme
are Professor
Stijn Van
Nieuwerburgh
from profession.
New York
enhance
their research
through
specific 2015
tutorials
and interaction
with leading
scholars
of the finance
University
Stern School
ofReversal
Business
Professor
Ralph
Koijen
from
Business
Keynote
lecturers
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Presentation
Market
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University
Stern School
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Professor
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Koijen
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Keynote
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2015
programme
areLondon
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University Stern School ofAmir
Business
and
Professor
Ralph
Koijen
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London
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Akbari,
University
University Stern School of Business
andMcGill
Professor
Ralph Koijen from London Business School.
It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
Vladimirsuch
Pazitka,
University
of Birmingham
ItParticipants
would be impossible to organize
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Nyenrode.
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My
dedication
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perseverance
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colleagues
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Nyenrode.
I would for
liketheir
to thank
Professor
Patrycja
Bangor
Business
School,
Bangor
University
Džoljić,
Rector
Nyenrode
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Universiteit,
Professor
Paape,
Dean
of Nyenrode,
unfailing
support.Miša
My
dedication
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heartfelt
thanksofalso
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Dr.
Erkan
Ertürk
from
S&P
in
New
York
and
the
members
of
the
Organizing
Committee;
their
Džoljić, Rector
Nyenrode
Business
Universiteit,
and
Professor
Leen
Paape,
Dean
of
Nyenrode,
for
their
unfailing
support.
My
Amir
McGillfrom
University
heartfeltRector
thanksofalso
go to
Dr. Akbari,
ErkanUniversiteit,
Ertürk
S&P
in NewLeen
YorkPaape,
and theDean
members
of the for
Organizing
Committee;
Džoljić,
Nyenrode
Business
and
Professor
of Nyenrode,
their unfailing
support.their
My
invaluable
academic
crucial.
grateful
to Beau
Soederhuizen
for his
work.Committee;
And last buttheir
not
heartfelt thanks
also input
go tohas
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Erkan
ErtürkI am
fromalso
S&P
in New
York and
the members
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academic
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grateful
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Soederhuizen
for his
work.Committee;
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go tohas
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Erkan
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S&P
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York and
the members
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least,
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theI am
EFMA
andtothe
Programme
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of the 2014
EFMA
invaluable
academic
input John
has been
crucial.
alsostaff
grateful
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Soederhuizen
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work.
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last but not
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and
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am
alsostaff
grateful
Beau
Soederhuizen
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work.
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last but not
Professors
Alessandro
Carretta
Gianluca
theirthe
helpful
support and
prompt advice
needed.
least, I thank
Professor
John and
Doukas,
the Mattarocci,
EFMA staffforand
Programme
Co-Chairs
of the whenever
2014
EFMA
conference,
Coach
House B
Room
Professors
Alessandro
Carretta
Gianluca
theirthe
helpful
support and
prompt advice
needed.
least,
I thank
Professor
John and
Doukas,
the Mattarocci,
EFMA staffforand
Programme
Co-Chairs
of the whenever
2014 EFMA
conference,
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Instructors
Manuel
Rocha
Armada,
University
of Minho
Professors
Alessandro Carretta
and
Gianluca
Mattarocci,
for their
helpful support and prompt advice whenever needed.
Finally, I would like to extend
sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Email: my
rarmada@eeg.uminho.pt;mjrarmada@gmail.com
Finally, I would like to extend
my
sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Authority
theirlike
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inputmy
for sincere
the special
sessions,
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Martijn Cremers,
Van
Finally, I for
would
to extend
thanks
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Dutch
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IMF,
andKoijen,
the European
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Albert
Menkveld,
VU
University
AuthorityI for
theirlike
valuable
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for sincere
the special
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BoBank,
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Martijn Cremers,
Van
Finally,
would
to extend
thanks
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Central
IMF,
andKoijen,
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SecuritiesStijn
Market
Nieuwerburgh
andvaluable
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Baker
for
their
dedication
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academic
support,
to
the
Conference
Award
sponsors,
to
EFMA,
Authority for their
input
for
the
special
sessions,
to
Professors
Bo
Becker,
Ralph
Koijen,
Martijn
Cremers,
Stijn
Van
Email:
albertjmenkveld@gmail.com
Nieuwerburgh
andvaluable
Malcolm
Baker
dedication
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support,
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Conference
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Authority
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Martijnsponsors,
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Stijn
Van
GARP,
Euronext,
LangBaker
and John
Doukas,
and finally
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Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for
their
dedication
and
academic
support,
to the
Conference
sponsors,
to EFMA,
Maurizio
Montone,
Erasmus
School
of Economics
GARP, Euronext,
Lang
and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
Baker
for
their
dedication
and
academic
support,
to the
Conference
sponsors,
to EFMA,
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP, Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
Email:
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP,
Euronext,
Larry Lang
andmontone@ese.eur.nl
John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing the necessary resources,
not University
only administratively
and physically, but also financially.
Valerio Potì,
College Dublin
providing the necessary resources,
not only administratively
and physically, but also financially.
I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
Email:
valerio.poti@ucd.ie
I hope you will enjoy EFMA’s 24th Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I wish
a very
pleasant
stay
in Breukelen.
Annual
Meeting
benefitSchool
from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24thTodorovic,
Natasa
Cass and
Business
I wish
a very
pleasant
in Breukelen.
Annual
Meeting
and
benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24 stay
and I wish you all a very pleasant
stay
in
Breukelen.
Email: n.todorovic@city.ac.uk
and I wish you all a very pleasant
stay in Breukelen.
Dennis Vink – EFMA 2015 Program Chair
Presentations
What
we do Chair
and What we State: Is there Consistency between Ctated Investment Profile
Dennis
Vink – EFMA 2015
Program
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
and
Investment
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program
ChairDecisions Made by Retail Investors?
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Bellofatto, Louvain School of Management, Université
Nyenrode of
Business
Professor
FinanceUniversiteit
andAnthony
Investment
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
Participants
Thomas Bonesire, HEC - Management School of the University of Liège (HEC-ULg)
Visiting
Professor of Finance,
and
Visiting Professor of Finance,
Sven Klingler, Copenhagen Business School
and
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
Evangelia Mitodima, University of Kent
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
18
1
1
1
1
Zhenzhen Fan, University of Amsterdam, Netherlands
Anthony Bellofatto, Louvain School of Management, Université Catholique de Louvain
SESSION 2
Keynote Lecture#2
and panel
discussion
Participants
"House Prices and Fundamentals: Realities and Policy
18:15 - 19:45,
Responses"
Room Coach House A
Organizer/Moderator: Professor Stijn Van Nieuwerburgh
NYU Stern School of Business
Panelists:
Professor Stijn
Van Nieuwerburgh,
NYU
Stern School of Business
2015
Annual
Conference
2015
Annual
Conference
Professor Oscar
Jorda,
Federal
Reserve
Bank
of San Francisco and UC Davis
2015
Annual
Conference
June
24
–
27,
2015
2015
Annual
Conference
and International Monetary Fund
Professor Prakash
Loungani,
Vanderbilt
University
June
24
–
27,
2015
June
24
–
27,
2015
Professor
Paul
Hilbers,
Nyenrode
Business
Universiteit
Nyenrode
Business
June
24 – 27, Universiteit
2015 and Dutch Central Bank
Business
Universiteit
JeroenNyenrode
van
Hessen,
Managing
Partner
Dutch
Mortgage Funding Company
Nyenrode
Business
Universiteit
Breukelen,
THE
NETHERLANDS
Nyenrode
Business
Universiteit
All PhDBreukelen,
Students must attend!
THE NETHERLANDS
Breukelen,
THE
NETHERLANDS
Breukelen,
THE
NETHERLANDS
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
SESSION
3
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sponsored
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intensive
one-day
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PhD
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Email:
lengjingsi87@gmail.com
enhance their
research
skills
through
specific
tutorials and
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University Stern School of Business
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It would be impossible to organize
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Email: sabrine.rekik@dauphine.fr
It would be impossible to organize
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dedication
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colleagues
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It would be and
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Itdedication
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the
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Rector
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and
Professor
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Paape,
Dean
of
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for
their
unfailing
support.
My
dedication
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perseverance
of
many
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Gianluca
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Sushiland
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University
of Liverpool
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and
Gianluca
Mattarocci,
for their helpful support and prompt advice whenever needed.
Finally, I would like to extend
my
sincere
thanks
to
the
Dutch Central Bank, IMF, and the European Securities Market
Email:
sushil@liv.ac.uk
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I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I hope you will enjoy EFMA’s 24th Annual Meeting and benefit from its challenging and intellectually stimulating programme,
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Erasmus University Rotterdam, Netherlands
and I wish you all a very pleasant
in Breukelen.
Dennis Vink – EFMA 2015
Program
Chair
Email:
qian@ese.eur.nl
Dennis Vink – EFMA 2015
Program
Chair
Professor
of Finance
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Dennis Vink
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Dennis Vink
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Nyenrode
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Professor of
FinanceUniversiteit
andThe
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Nyenrode of
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Patrycja
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State University of Denmark
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State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
19
1
1
1
1
Reversal in Market Integration: a Funding Liquidity Explanation
Amir Akbari, McGill University, Canada, H3A 1G5
Email: amir.akbari@mail.mcgill.ca
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Optimizing Portfolio Allocation, Private Equity Deals and the Cost of Capital for the Entrepreneur
Thomas Bonesire, HEC - Management School of the University of Liège (HEC-ULg), Belgium
Email: thomas.bonesire@ulg.ac.be
2015 Annual Conference
2015
Annual
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Swap Spread
Dynamic Bargaining
Markets
and the Negative
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June
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2015
Annual
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sk.fi@cbs.dkJune
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Email:
Dear Colleagues and Friends
of em260@kent.ac.uk
the European Financial Management Association (EFMA),
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Dennis Vink – EFMA 2015 Program Chair
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20
1
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List of Doctorate Seminar Lectures and Instructors
KeyNote Lecturers
Ralph Koijen, London Business School
Email: rkoijen@london.edu
Stijn Van Nieuwerburgh, NYU Stern School of Business
2015
Email: svnieuwe@stern.nyu.edu
2015 Annual
Annual
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2015
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June
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Dear
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Dear
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Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
GARP,
Euronext,
Larry
Lang
and
John
Doukas,
and
finally
to
Nyenrode
Business
Universiteit
and
the
Centre
for
Finance
for
Nieuwerburgh
and
Malcolm
Baker
for
their
dedication
and
academic
support,
to
the
Conference
Award
sponsors,
to
EFMA,
Maurizio
Montone,
Erasmus
School
Economics
providing
the
necessary
resources,
notofonly
administratively
physically,
but also
financially.and the Centre for Finance for
GARP,
Euronext,
Larry
Lang
and
John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing
the
necessary
resources,
not
only
administratively
and
physically,
but
also
financially.
GARP,
Euronext,
Larry
Lang
and
John
Doukas,
and
finally
to
Nyenrode
Business
Universiteit
and
the
Centre
for
Finance
for
Email: montone@ese.eur.nl
providing
the necessary resources, not only administratively and physically, but also financially.
providing
the
necessary
resources,
not
only
administratively
and
physically,
but
also
financially.
Potì,
College
Annual Meeting and benefit from its challenging and intellectually stimulating programme,
IValerio
hope you
willUniversity
enjoy EFMA’s
24thDublin
IEmail:
hope valerio.poti@ucd.ie
you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24th stay
I wish
you
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you
will all
enjoy
EFMA’s
24 stay
Natasa
Todorovic,
Cass
Business
School
and
I wish
you all a very
pleasant
stay
in Breukelen.
and
I wish
you all a very pleasant stay in Breukelen.
Email:
n.todorovic@city.ac.uk
Dennis Vink – EFMA 2015 Program Chair
Dennis Vink – EFMA 2015 Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Nyenrode of
Business
Professor
FinanceUniversiteit
and Investment
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
Visiting
Professor of Finance,
and
Visiting Professor of Finance,
and
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
21
1
1
1
1
EFMA 2015 Program Matrix
Wednesday, June 24 2015
Room
A
11:15-13:00
B
14:00-15:45
C
16:15-18:00
AH-B
A1
Capital Structure I
B1
Capital Structure II
C1
Emerging Markets I
AH-C
A2
Corporate Governance
I
B2
Market Efficiency
I
C2
2015
Annual
Conference
2015 Annual
Conference
Annual
Conference
AH-D A3
Depository Institutions2015
I June
B3 24
Depository
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II
C3
–
27,
2015
2015
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June
24
–
27,
2015
June
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Nyenrode
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B6
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Corporate Governance III
Asset Pricing I
Market Efficiency II
Dear Colleagues and Friends of the European FinancialFinancial
Management
Association
(EFMA),
Engineering
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Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
It is a great pleasure and a true privilege for me, on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
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Soederhuizen
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last
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also
go
to
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Ertürk
from
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in
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alsostaff
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alsostaff
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last but not
and
exchange
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Alessandro
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Gianluca
theirthe
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the Mattarocci,
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of the whenever
2014Finance
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conference,
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Alessandro
Carretta
and
Gianluca
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for
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whenever
needed.
least,
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Doukas,
the
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staff
and
the
Programme
Co-Chairs
of
the
2014
EFMA
conference,
rates Carretta
I
Professors Alessandro
and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
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would
like
to
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my sincere
the Dutch Central
IMF, and
European Securities Market
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the Dutch Central
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Authority
theirlike
valuable
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for
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special
sessions,
to
Professors
Bo
Becker,
Ralph
Koijen,
Martijn Cremers,
Van
Finally, I for
would
to
extend
my
sincere
thanks
to
the
Dutch
Central
Bank,
IMF,
and
the
European
SecuritiesStijn
Market
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theirlike
valuable
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Finally,
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to extend
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andvaluable
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Research
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andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
GARP,
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LangBaker
and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
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AH-G
E11
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providing
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GARP, Euronext,
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and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing
the necessary
resources,
not only
administratively
and
physically,
but
also
financially.
GARP,
Euronext,
Larry Lang
and John
Doukas,
and
finally
to
Nyenrode
Business
Universiteit
and
the
Centre
for
Finance
for
SYRTO
providing the necessary resources, not only administratively
and physically, but also financially.
providing the necessary resources,
not
only
administratively
and
physically,
but
also
financially.
and benefit from its challenging and intellectually stimulating programme,
I *hope
you will
enjoy
24thth Annual
Session
beEFMA’s
held at room
104 Meeting
Meeting and benefit from its challenging and intellectually stimulating programme,
I hope
you G8
will will
enjoy
EFMA’s
24th Annual
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24th stay
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24 stay
and I wish you all a very pleasant stay in Breukelen.
and I wish you all a16:00-17:30
very pleasant stay in Breukelen.
Dennis Vink – EFMA 2015 Program Chair
Dennis Vink – EFMA 2015 Program Chair
Wapenzaal
Special
Session
Professor
of Finance
and
Investment
Dennis
Vink
– EFMA
2015
Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
(Aula), of
Nyenrode
Business
Universiteit
Professor
Finance
and
Investment
“Efficiently
Inefficient: How Smart Money Invests and Market Prices are Determined”
Nyenrode of
Business
Universiteit
Professor
Finance
and
Investment
NyenrodeBusiness Universiteit
and
Nyenrode
Organizer/Moderator:
Professor Lasse Pedersen, NYU Stern School of Business and Copenhagen
and
Nyenrode
Business Universiteit
castle Professor of
Visiting
Finance,School
and
Business
Visiting Professor of Finance,
and
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
22
1
1
1
1
Friday, June 26 2015
Room
H
8:30-10:15
I
15:45-17:30
AH-B
H1
Portfolio Performance Evaluation I
I1
Depository Institutions V
AH-C
H2
Agency Theory II
I2
Asset Allocation V
AH-G
H3
Depository Institutions IV
I3
Management Compensation II
AH-H
H4
Options II
I4
Working Capital Management I
AH-J
H5
Earnings Management I
I5
Asset Pricing VII
2015
Annual
Conference
AH-1 H6 Asset Pricing VI
I6
Corporate Takeovers V
2015
Annual
Conference
2015
Annual
Conference
June
24
–
27,
2015
2015
Annual
Conference
02
H7 Corporate Takeovers IV June 24 – 27,
I7 2015
Portfolio Performance Evaluation II
June
24
–
27,
2015
Nyenrode
Business
June
24 – 27,
2015
TH
H8 Management Compensation
I
I8 Universiteit
Risk Management and Financial Engineering II
Nyenrode
Business
Universiteit
Nyenrode
Business
Universiteit
Breukelen,
THE NETHERLANDS
NETHERLANDS
C-2*
H9 Emerging Markets
II
I9* Universiteit
Market Efficiency IV
Nyenrode
Business
Breukelen,
THE
Breukelen,
THE
NETHERLANDS
C-23
H10 Corporate Governance
VIII
I10 Behavioural Finance IV
Breukelen,
THE NETHERLANDS
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Dear
Friends of the European Financial Management Association (EFMA),
*I9 inColleagues
room 03 and
Dear
Colleagues
and Friends of the European Financial Management Association (EFMA),
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
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Miller”
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sessions, 2 keynote
lectures, 3 special sessions
and
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speech, all
of which
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Bo
Becker,
Stockholm
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of the
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research
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University
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the
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likeorganizational
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the
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Nyenrode.
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liketheir
to thank
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Business
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Paape,Specifically,
Dean of Nyenrode,
unfailing
support.Miša
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dedication
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perseverance
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of my and
colleagues
at Leen
Nyenrode.
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liketheir
to thank
Professor
heartfelt
thanks
also
go
to
Dr.
Erkan
Ertürk
from
S&P
in
New
York
and
the
members
of
the
Organizing
Committee;
their
Džoljić,
Rector
of
Nyenrode
Business
Universiteit,
and
Professor
Leen
Paape,
Dean
of
Nyenrode,
for
their
unfailing
support.
My
Saturday,
June
27 2015
heartfelt
thanks
go to Business
Dr. ErkanUniversiteit,
Ertürk fromand
S&P
in NewLeen
YorkPaape,
and theDean
members
of the for
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Committee;
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Rector
ofalso
Nyenrode
Professor
of Nyenrode,
their unfailing
support.their
My
invaluable
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crucial.
grateful
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Soederhuizen
for his
work.Committee;
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go tohas
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ErtürkI am
fromalso
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in New
York and
the members
of impressive
the Organizing
invaluable
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grateful
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Soederhuizen
for his
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EFMA
andtothe
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invaluable
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alsostaff
grateful
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Soederhuizen
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Carretta
and
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theirthe
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least,
thank
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John
Doukas,
the Mattarocci,
EFMA staffforand
Programme
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of the
2014
EFMA
conference,
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Alessandro
Carretta
Gianluca
theirthe
helpful
support and
prompt advice
needed.
least,
I thank
Professor
John and
Doukas,
the Mattarocci,
EFMA staffforand
Programme
Co-Chairs
of the whenever
2014 EFMA
conference,
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Alessandro
CarrettaGovernance
and Gianluca
and prompt
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whenever
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Money
and Capital
II needed.
AH-B
J2
Professors
Alessandro
Carretta and Gianluca Mattarocci, for their helpfulK2
support and prompt advice whenever needed.
Finally, I would likeAsset
to extend
my
sincere
thanks
to
the
Dutch
Central
Bank,
IMF,
and
the
European
Market
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Law,IMF,
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Martijn Cremers,
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Finally,
would
to extend
thanks
to thetoDutch
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Bank,
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andKoijen,
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Martijn
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Finally,
would
to extend
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thanks
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andKoijen,
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Bo Becker,
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Stijn
Van
GARP,
Larry
LangBaker
and
Doukas,
and finally
to Nyenrode
Universiteit
andAward
theXCentre
for Finance
for
Nieuwerburgh
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
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I John
Corporate
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AH-H Euronext,
J5 and
K5Business
GARP,
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and
John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP, Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
Options
IV
providing
the
necessary
resources,
not
only
administratively
and
physically,
but
also
financially.
GARP,
Euronext,
Larry
Lang
and
John
Doukas,
and
finally
to
Nyenrode
Business
Universiteit
and
the
Centre
for
Finance
for
AH-J theJ6necessary resources, not only administratively and physically, but also financially.
providing
providing the necessary resources,
not
only
administratively
and
physically,
but
also
financially.
I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I hope you will enjoy EFMA’s 24th Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24th stay
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24 stay
and I wish you all a very pleasant stay in Breukelen.
and I wish you all a very pleasant stay in Breukelen.
Dennis Vink – EFMA 2015 Program Chair
Dennis Vink – EFMA 2015 Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Nyenrode of
Business
Professor
FinanceUniversiteit
and Investment
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
Visiting
Professor of Finance,
and
Visiting Professor of Finance,
and
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
23
1
1
1
1
EFMA 2015 Program Sessions
Wednesday, June 24 2015
Session A1
Session Chair
Capital Stucture I
11:15-13:00
Room AH-B
Alexandre Garel (ESCP
Labex Refi)
2015Europe,
Annual
Conference
Annual
Conference
Labor Protection 2015
and
Corporate
Debt
Maturity:
International Evidence
2015
Annual
Conference
June
24
–
27,
2015
2015
Annual
Conference
Mohamed Belkhir (UAEJune
University),
Hamdi
Ben-Nasr
(College of Business Administration, King Saud
24
–
27,
2015
June
24
–
27,
2015
(Champagne
School
of
Management
(Groupe ESC Troyes))
University),Nyenrode
Sabri Boubaker
Business
June
24 – 27, Universiteit
2015
Nyenrode
Business
Universiteit
Discussant
Venkat Subramaniam
(A.B.
Freeman
School
of
Business),
Nyenrode
Business
Universiteit
Breukelen,
THE NETHERLANDS
NETHERLANDS
Nyenrode
Business
Universiteit
LeveragedBreukelen,
Buybacks
THE
Breukelen,
THE
NETHERLANDS
Zicheng Lei
(Warwick Business THE
School), NETHERLANDS
Chendi Zhang (Warwick Business School)
Breukelen,
Dear
Colleagues andManoj
Friends
of the European
Management Association (EFMA),
Discussant
Kulchania
(WayneFinancial
State University)
Dear
Colleagues and Friends
of the European
Financial
Management Association (EFMA),
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
and
at Multinational
Corporations
Dear Colleagues andTaxes
Friends
of Leverage
the European
Financial Management
Association (EFMA),
It is a great pleasure and a true privilege for me, on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
(Utah State
University),
Faulkender
(University
of Maryland)
It is a great pleasureJason
and a Smith
true privilege
for me,
on behalfMichael
of the Centre
for Finance
at Nyenrode
Business Universiteit, to
th
Meeting.
call foratpapers,
weBusiness
received Universiteit,
an impressive
welcome
youpleasure
to Breukelen
EFMA’sfor24me,
It is a great
and a and
true to
privilege
on behalf
of the Following
Centre forour
Finance
Nyenrode
to
th Annual
Discussant
Stefano
Bonini
(Stevens
Institute
of
Technology
Howe
School
of
Management,
NYU Stern
School to
Annual
Meeting.
Following
our
call
for
papers,
we
received
an impressive
youpleasure
to Breukelen
to
EFMA’s
Itwelcome
is a great
and a and
true
privilege
for24me,
on
behalf
of
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for
Finance
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2014 EFMA
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Alessandro
Carretta
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and prompt advice
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Professors Alessandro
Carretta and
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(University
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University
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Science
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GARP,
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Larry
Lang
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Doukas,
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Universiteit
and
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Discussant
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of Edinburgh
Business School)
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only administratively
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I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
programme,
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youA4
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Iand
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Konstantinos
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(Cardiff
Business
and I wish you all a very pleasant stay in Breukelen.
and I wish you all a very
pleasant
stay in Breukelen.
doProgram
executives
commit financial fraud? Executive perquisites and corporate governance
Dennis Vink – EFMAWhy
2015
Chair
Dennis Vink – EFMAimplications
2015 Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Professor
of Finance
and
Investment
Dennis Vink
– EFMAHsiangping
2015
Program
TsaiChair
(Yuan Ze University), Chia-Ying Chan (Yuan Ze University), Kuo-An Li (Yuan Ze
Nyenrode of
Business
Professor
FinanceUniversiteit
and Investment
Nyenrode of
Business
Professor
FinanceUniversiteit
and
Investment
University)
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit Zhang (Missouri University Science & Technology)
Discussant
Visiting
Professor of Hongxian
Finance,
and
Visiting Professor of Finance,
and
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
24
1
1
1
1
Discussant
Discussant
Anatomy of Bank Distress: The Information Content of Accounting Fundamentals within and
Across Countries
Herbert Rijken (VU University Amsterdam), Janko Cizel (VU University Amsterdam, Tinbergen
Institute), Edward Altman (NYU Stern Business School)
Dan Li (University of Hong Kong)
Bankruptcy Sells Stocks... But Who's Buying and Why?
Richard Taffler (Warwick Business School), Luis Coelho (University of the Algarve), Kose John
(NYU Stern Business School), Alok Kumar (University of Miami).
Herbert Rijken (VU
University
Amsterdam)Conference
2015
Annual
2015
Annual
Conference
2015
Annual
Conference
June
24
–
27,
2015
2015
Annual
Session A5
Behavioural Finance I June 24 – Conference
11:15-13:00
Room AH-H
27,
2015
June
24
–
27,
2015
Session Chair
Tom Aabo Nyenrode
(Aarhus University)
Business
June
24 – 27, Universiteit
2015
MeasuringNyenrode
Uncertainty in TheBusiness
Stock Market Universiteit
Nyenrode
Business
Universiteit
Breukelen,
THE
NETHERLANDS
Nyenrode
Business
Universiteit
Jorge M. Uribe
(Universidad del
Valle), Helena
Chuliá
(Universitat de Barcelona), Montserrat Guillén
Breukelen,
THE
NETHERLANDS
Breukelen,
THE
NETHERLANDS
(UniversitatBreukelen,
de Barcelona)
THE
NETHERLANDS
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Discussant
Andrikopoulos
(Coventry
University)Association (EFMA),
Dear
Colleagues andPanagiotis
Friends of the
European Financial
Management
Dear Colleagues andInside
Friends
ofDirector
the European
Financial
Management
Association
the
Network:
When
Insiders
Trade
Outside(EFMA),
Stocks
Dear Colleagues and Friends of the European Financial Management
Association
(EFMA),
It is a great pleasureHenk
and aBerkman
true privilege
for
me,
on
behalf
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the
Centre
for Finance
Nyenrode
Business
Universiteit, to
of
Auckland),
(University
Paul
Koch
(University
of at
Kansas),
Joakim
Westerholm
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at
Nyenrode
Business
Universiteit, to
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th Annual
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Risk Transfer and Implicit Insurance: The Effect of Banks' Downgrades on Sovereign Debt
Matías Cabrera (Universidad Carlos III de Madrid)
Hsiao-Jung Chen (Southern Taiwan University of Science and Technology)
Cyclicality in Losses on Bank Loans
Bart Diris (Erasmus University Rotterdam), Bart Keijsers (Erasmus University Rotterdam), Erik Kole
(Erasmus University Rotterdam)
Rafael Schiozer (FGV)
Futures and Forwards
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Peng
Wang (University
of Southampton)
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Leentje
Moortgat
Antwerp)
It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
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2014 EFMA
conference,
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Alessandro
Carretta
and
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Doukas,
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Osmekhin
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I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
AnnualI Meeting and benefit from its challenging and 16:15-18:00
intellectually stimulating
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I wish
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Iand
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youChair
will all
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Michael
Frömmel
University)
and I wish you all a very pleasant stay in Breukelen.
and I wish you all a very
pleasant stay in Breukelen.
and Market Valuation in an Emerging Economy: Evidence from China
Dennis Vink – EFMAInternationalization
2015 Program Chair
Dennis Vink – EFMAChao
2015Chen
Program
Chair
(Fudan
University),
Lishuai Lian (Fudan University), Gerald Lobo (University of Houston)
Professor
of Finance
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– EFMAand
2015
Program Chair
Professor
of Finance
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Dennis
Vink
– EFMAFabian
2015
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Schönenberger
Nyenrode
Business
Professor of
FinanceUniversiteit
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Nyenrode of
Business
Professor
FinanceUniversiteit
and Obsession:
Investment the Ascent of Fine Wine in China
Red
and
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Business Universiteit
Weisskopf (Ecole hôtelière de Lausanne), Philippe Masset (Ecole hôtelière de
Visiting
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Finance,
and
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Finance, Benoit Faye (INSIGNIS), Eric Le Fur (INSIGNIS)
and
Moscow
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Visiting Professor
of Finance,
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Finance,
Discussant
(University of Windsor)
and
Technical
of An
Denmark
Moscow
State University
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
26
1
Session B4
Session Chair
1
1
1
Discussant
Corporate Investment and Expropriation by Controlling Shareholders: Evidence from Chinese
Listed Companies
Yunbi An (University of Windsor), Jinqing Zhang (Fudan University), Hui Chen (Fudan University)
Amalia Di Iorio (La Trobe University)
Session C2
Session Chair
Equities I
16:15-18:00
Room AH-C
Deniz Erdemlioglu (IESEG School of Management)
A Predictive System with Heteroscedastic Expected Returns and Economic Constraints
Maxime Bonelli (Inria),
Daniel
Mantilla-Garcia
(Edhec-Risk Institute, Koris International)
2015
Annual
Conference
2015
Annual
Conference
Discussant
Ai jun Hou (Stockholm
University)
2015
Annual
Conference
June
24
–
27,
2015
2015
Annual
Conference
Contemporaneous
Spillover
Effects
between
the
US and the UK
June
24
–
27,
2015
June
24
–
27,
2015
Marinela Adriana
Finta
(Auckland
University
of
Technology),
Nyenrode
Business
June
24 – 27, Universiteit
2015 Bart Frijns (Auckland University of
Nyenrode
Business
Universiteit
Technology),
Alireza
Tourani-Rad
(Auckland
University
of Technology)
Nyenrode
Business
Universiteit
Breukelen,
THE
NETHERLANDS
Nyenrode
Business
Universiteit
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Nick TaylorBreukelen,
(University of Bristol)THE NETHERLANDS
Breukelen,
THE
NETHERLANDS
Value Investing:
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Breukelen,
THE
NETHERLANDS
Dear Colleagues andBenjamin
Friends of the European
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Dear Colleagues and Friends ofMaury
the European
Financial
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Association (EFMA),
Dear
Colleagues
and
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European
Financial
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Association
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of Aberdeen
Business School)
Dear
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Friends
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European Financial
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Association (EFMA),
It is a great pleasure and a true privilege for me, on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
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youChair
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Relative
Informational
Efficiency
and Predictability
in the Corporate
Bond Market
and I wish you all a very
pleasant
stay in Breukelen.
and I wish you all a very
pleasant stay
in Breukelen.
Konstantinos
Tolikas
(Cardiff
Business
School)
Dennis Vink – EFMA 2015 Program Chair
Dennis
Vink – EFMAXi2015
Program University)
Chair
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FuInvestment
(Lancaster
Professor
of Finance
Dennis
Vink
– EFMAand
2015
Program Chair
Professor
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and
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Dennis Vink
– EFMACommon
2015
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Chair in Equity Markets
Risk Factors
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Nyenrode of
Business
Professor
FinanceUniversiteit
and
Investment
Victoria Atanasov (VU University Amsterdam, Tinbergen Institute)
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
Discussant
Arthur Luo (McMaster University)
Visiting
Professor of H.
Finance,
and
Visiting Professor of Finance,
and
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
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and
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Moscow
State University of Denmark
and Technical
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State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
27
1
1
1
1
Discussant
The Valuation of Deposit Insurance Allowing for the Interest Rate Spread and EarlyBankruptcy Risk
Ming-Shann Tsai (National University of Kaohsiung), Shu-Ling Chiang (National University of
Kaohsiung)
Konstantinos Tolikas (Cardiff Business School)
Session C6
Session Chair
Market Efficiency II
16:15-18:00
Room AH-J
Lorne Switzer (Concordia University)
Towards Disentangling
Sentiment
from Risk
Premia
2015
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Conference
2015
Annual
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Iman Honarvar (Maastricht
University),
Dennis
Bams
(Maastricht University), Thorsten Lehnert
2015
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June
24
–
27,
2015
2015
Annual
Conference
(University of Luxembourg)
June
24
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27,
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June
24
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27,
2015
Discussant
Li An (Tsinghua
University)
Nyenrode
Business
Universiteit
June
24
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27,
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Nyenrode
Business
Universiteit
Factor Investing
in the Corporate
Bond MarketUniversiteit
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NETHERLANDS
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NETHERLANDS
Discussant
Pedro Piccoli
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University
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Breukelen,
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Dear Colleagues andThe
Friends
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Financial
Management
Association
(EFMA),Errors?
Profitability
Premium:
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or Expectation
Dear Colleagues and Friends
of the European
Financial
Management
Association
(EFMA),
Dear Colleagues andF.Y.
Friends
of
the
European
Financial
Management
Association
(EFMA),
Eric
C.
Lam
(Hong
Kong
Baptist
University),
Shujing
Wang
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Dear Colleagues and Friends of the European Financial Management Association (EFMA),
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me,
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I hope you will enjoyMadrid)
EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I hope you will enjoy EFMA’s 24th Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I wish
a very
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andMontreal),
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Discussant
Yaovi
Gassesse
Siliadin
(HEC
Michèle
Breton (HEC
I wish
a very
pleasant
in Breukelen.
Annual
Meeting
and benefit from
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and intellectually stimulating programme,
Iand
hope
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and I wish you all a very
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Bond
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Risk and Maturity Structure
and I wish you all a very
pleasant
in Breukelen.
Dennis Vink – EFMAMarcos
2015 Program
Chair
González
Fernández
(University of León), María del Carmen González Velasco (University
Dennis Vink – EFMA 2015 Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAofand
2015
Program Chair
León)
Professor
of Finance
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Dennis Vink
– EFMAand
2015
Program Chair
Nyenrode
Business
Professor
of
FinanceUniversiteit
and Investment
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Andrei
Stancu (ICMA Centre)
Nyenrode
Business
Professor
of
FinanceUniversiteit
and Investment
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
Visiting
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and
Session
D3
Pricing II
8:30-10:15
Room AH-D
Visiting
Professor
of Asset
Finance,
and
Moscow
State
University
Visiting
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of
Finance,
Session
Chair
Yuen
Jung
Park
(Hallym
Univerisity)
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
of Pricing
Denmark
Moscow
State University
Asset
of Financial Institutions: The Cross-Section of Expected Insurance Stock Returns
and Technical
of Denmark
Moscow
State University
and Technical University of Denmark
and Technical University of Denmark
28
1
1
1
1
Discussant
Discussant
Discussant
Semir Ben Ammar (University of St.Gallen), Martin Eling (University of St.Gallen),
Andreas Milidonis (Nanyang University)
Maxime Bonelli (Inria)
Habit, Production, and the Cross-Section of Stock Returns
Andrew Chen (Federal Reserve Board)
Valerio Poti (University College Dublin)
Prices of Risk and the Business Cycle
Amir Akbari (McGill University), Francesca Carrieri (McGill University)
Tarik Bazgour (HEC-University
of Liège) Conference
2015 Annual
2015
Annual
Conference
2015
Annual
Conference
June
24
–
27,
2015
2015
Annual
Conference
Session D4
Asset Allocation I
8:30-10:15
Room AH-E
June
24
–
27,
2015
June
24
–
27,
2015
Session Chair
David Moreno
(Universidad
Carlos
III
de
Madrid)
Nyenrode
Business
June
24 – 27, Universiteit
2015
Nyenrode
Business
Equity Premium
Prediction: are
Economic and Universiteit
Technical Indicators Instable?
Nyenrode
Business
Universiteit
Breukelen,
THE
NETHERLANDS
Nyenrode
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Universiteit
Fabian Baetje
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Hannover),
Lukas
Menkhoff (Kiel Institute for the World Economy)
Breukelen,
THE
NETHERLANDS
Breukelen,
THE
NETHERLANDS
Discussant
Alexandre Breukelen,
Garel (ESCP Europe,THE
Labex Refi)
NETHERLANDS
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
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with Mental
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Friends of Baptista
the European
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George
Washington
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Dear Colleagues and Friends of the European Financial Management Association (EFMA),
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staffforand
Programme
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2014 EFMA
conference,
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Alessandro
Carretta
and
Gianluca
Mattarocci,
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prompt
advice
whenever
needed.
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Doukas,
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staff
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the
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of
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2014
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conference,
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Professors Alessandro
Carretta and
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Professors Alessandro
Carretta and
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for Science
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and the Centre
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only
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financially.
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Larry
Lang
and
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Doukas,
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Universiteit
and
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for
Finance
for
Evangelos
Vagenas-Nanos
(University of
Glasgow)
providing the necessary
resources,
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providing
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Discussant
of benefit
Cologne)
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and
from its challenging and intellectually stimulating programme,
I hope
you will enjoyChristoph
EFMA’s 24Sorhage
th Annual Meeting
Meeting
and benefit
from itsBehavior
challenging
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stimulating
programme,
I hope you will enjoyLearning
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Chinese?
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Institutions
in the Chinese
th
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in Breukelen.
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Iand
hope
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24th stay
I wish
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Iand
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will all
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and I wish you all a very pleasant stay in Breukelen.
and I wish you all a very
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stay in Breukelen.
Dennis Vink – EFMAPeng
2015Wang
Program Chair of Southampton), Timo Korkeamäki (Hanken School of Economics), Nader
Dennis Vink – EFMAVirk
2015
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Chair
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Professor
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Dennis Vink
– EFMAand
2015
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Chair
Professor
of
Finance
and
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Dennis
Vink
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EFMA
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Discussant
Philipp
Doering
(University
of Bochum)
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Nyenrode of
Business
Professor
FinanceUniversiteit
and Investment
and
Nyenrode Business Universiteit
and
Nyenrode
Business
Universiteit
Session
D7
Medium Enterprises I
8:30-10:15
Room AH-J
Visiting
Professor
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Finance,
and
Visiting
Professor
of André
Finance,
and
Session
Chair
Thibeault
(Vlerick
Business
School)
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
29
1
1
1
1
Discussant
Discussant
Discussant
Certification of Public-Sector Lending of High-Growth SMEs towards Banks
José Martí (Universidad Complutense de Madrid), Anita Quas (EM Lyon)
Luisa Alemany (ESADE Business School)
Bank Market Concentration and Small Business Liquidity
Song Zhang (University of Portsmouth), Liang Han (University of Surrey), Francis Greene (University
of Birmingham)
Lars Hornuf (University of Trier)
Financial Derivatives usage by UK & Italian SMEs. Empricial Evidence from UK & Italian NonFinancial firms. 2015 Annual Conference
2015
Annual
Conference
Giulia Fantini (Swansea
University
- School
of Management)
2015
Annual
Conference
June
24
–
27,
2015
Annual
Conference
José Martí (UniversidadJune
Complutense
de
Madrid)
24 – 27, 2015
2015
June
24
2015
Nyenrode
Business
June
24 –
– 27,
27, Universiteit
2015
Nyenrode
Business
Universiteit
Session D8
Corporate Nyenrode
Governance IV Business Universiteit
8:30-10:15
Breukelen,
THE
NETHERLANDS
Nyenrode
Business
Universiteit
Session Chair
Ettore Croci
(Università CattolicaTHE
del Sacro
Cuore)
Breukelen,
NETHERLANDS
Breukelen,
THE
NETHERLANDS
Economic Breukelen,
Consequences of Deterrent
Clawback
Provisions
THE
NETHERLANDS
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Room AH-1
(ErasmusFinancial
University
Rotterdam),Association
Burcin Yurtoglu
(WHU - Otto Beisheim School of
Dear Colleagues andMichael
Friends Erkens
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Dear Colleagues andManagement),
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Gul Demirtas (Sabanci University)
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Kai-Shi Chuang (Tunghai University)
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(Warwick
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Dennis
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Dennis Vink – EFMAGender
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10:45-12:30
Room C-23
Moscow
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State University of Denmark
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State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
31
1
1
1
1
Discussant
Discussant
Discussant
Intraday Herding in Cross-Border Exchanges: Evidence from EURONEXT
Panagiotis Andrikopoulos (Coventry University), Vasileios Kallinterakis (University of Liverpool),
Mario Pedro Leite Ferreira (Universidade Católica Portuguesa), Thanos Verousis (University of Bath)
Karen Lai (Monash University)
Integration of Sovereign Bonds Markets: Time Variation and Maturity Effects
Ines Chaieb (University of Geneva and Swiss Finance Institute), Vihang Errunza (McGill University),
Rajna Gibson Brandon (University of Geneva and Swiss Finance Institute)
Sergey Osmekhin (Hanken School of Economics)
Optimal Mark-up 2015
and Arbitrages
in the Betting
Market
Annual
Conference
Annual
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Maurizio Montone2015
(Erasmus
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2015
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27,
2015
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Gonul Colak (Hanken
School
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June
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27, 2015
2015
June
24
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Nyenrode
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Breukelen,
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Bin
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State University of Denmark
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32
1
1
1
1
Discussant
Discussant
Discussant
Whence the Privatized Firm Dividend Premium?
William Megginson (University of Oklahoma), Abhinav Goyal (University of Liverpool), Shrikant
Jategaonkar (Southern Illinois University Edwardsville), Cal Muckley (University College Dublin)
Jason Smith (Utah State University)
The long-run evolution of dividend policy: Evidence from Belgium 1838-2012
Leentje Moortgat (University of Antwerp), Jan Annaert (University of Antwerp), Marc Deloof
(University of Antwerp)
Zicheng Lei (Warwick Business School)
Dividends: the declined
information
content
and policy implications
2015
Annual
Conference
2015
Annual
Conference
Ekaterina Zatonova
(University
of
Mannheim)
2015
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William Megginson
(University
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Oklahoma)
June
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– Conference
27, 2015
2015
June
24
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27, Universiteit
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Session E10
Market based
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I
10:45-12:30
Room 103
Nyenrode
Business
Universiteit
Breukelen,
THE
NETHERLANDS
Nyenrode
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Carolin Schuler
(University of Leipzig)
Breukelen,
THE
NETHERLANDS
Breukelen,
THE
NETHERLANDS
Testing theBreukelen,
Transparency Implications
of Mandatory IFRS Adoption: The Spread/Maturity
THE
NETHERLANDS
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
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liquidity
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Dennis Vink – EFMAThe
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Life Insurance Demand and Financial Inclusion; Evidence from Italian households
Maria Cristina Rossi (University of Torino), Elisa Luciano (University of Torino), Federico Petri
(Collegio Carlo Alberto)
Bart Diris (Erasmus University Rotterdam)
Macroeconomic Determinants of Cyclical Variations in Value, Size and Momentum premium in the UK
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Professor
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FinanceUniversiteit
and Investment
Nyenrode
Business
Universiteit
Professor
of
Finance
and
Investment
Session
Chair
William
Megginson
(University
of
Oklahoma) and
Nyenrode Business Universiteit
and
Nyenrode
Business UniversiteitAnticipation and Abnormal Returns
Visiting
Professor of Takeover
Finance,
and
Visiting Professor of Mohammad
Finance,
and
Irani (Stockholm Business School - Stockholm University)
Moscow
State University
Visiting Professor
of Finance,
Moscow
State
University
Visiting
Professor
of
Finance,
Discussant
Indrajeet
Mohite (ICMA Centre)
and
Technical
of Denmark
Moscow
State University
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
34
1
1
1
1
Discussant
Discussant
Takeover regulation to protect shareholders: Wealth creation or wealth destruction?
Henry Lahr (The Open University), Ying Wang (University of Northampton)
Veronika Vinogradova (University of Kassel)
Ownership and Changes in Performance and Risk: International Study on Banking
Acquisitions
Chih-Liang Liu (National Yunlin University of Science and Technology), Yin-Hua Yeh (National Yunlin
University of Science and Technology)
Hubert de la Bruslerie (University Paris Dauphine)
2015 Annual Conference
2015
Annual
Conference
Options I
13:45-15:30
Room AH-J
2015
Annual
Conference
June
24
–
27,
2015
2015
Annual
Conference
Gianluca Marcato (University
of
Reading)
June
24
–
27,
2015
June
24
–
27,
2015
Density forecast
comparisons
for
stock
prices,
obtained from high-frequency returns and daily
Nyenrode
Business
Universiteit
June
24
–
27,
2015
Nyenrode
Business
Universiteit
option prices
Nyenrode
Business
Universiteit
Breukelen,
THESandri
NETHERLANDS
Nyenrode
Universiteit
Rui Fan (Lancaster
University),Business
Matteo
(Lancaster
University), Stephen Taylor (Lancaster
Breukelen,
THE
NETHERLANDS
Breukelen,
THE
NETHERLANDS
University) Breukelen, THE NETHERLANDS
Dear
Colleagues andDa
Friends
of the
European
Financial
Management Association (EFMA),
Discussant
Hea Kim
(KAIST
Business
School)
Dear
Colleagues and Friends
of the
European
Financial
Management Association (EFMA),
Dear Colleagues andAFriends
of
the
European
Financial
Management
Association
(EFMA),
Two-Factor
Cointegrated
Commodity
Price Model
with an
Application to Spread Option
Dear Colleagues and Friends of the European Financial Management
Association
(EFMA),
It is a great pleasurePricing
and a true privilege for me, on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
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University Stern School
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University
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theirthe
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EFMA staffforand
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2014 EFMA
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Professors
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and Gianluca
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Market
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13:45-15:30
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Finally,
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theRalph
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BoUniversity)
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Van
Zhe
Shen
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University),
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You
(Xiamen
GARP,
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and John
Doukas,
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to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
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support,
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Conference
sponsors,
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Lang
and John
Doukas,
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andAward
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for Finance
for
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andLarry
Malcolm
Baker
for their
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Conference
sponsors,
to EFMA,
Discussant
Marta
Gómez-Puig
(Universitat
de
Barcelona)
providing
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physically,
but also
financially.and the Centre for Finance for
GARP, Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing
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only
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financially.
GARP,
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Larry
Lang
and
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Doukas,
and
finally
to
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Business
Universiteit
and
the
Centre
for
Finance
for
Theresources,
Disappearing
High-Volume
Return
Premium
in China’s
Market
providing the necessary
not only
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financially.
providing the necessary
resources,
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only
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physically,
but
also
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(Deakin
University),
Peipei
(Deakin University),
Yuanji Wen
(Deakin
Annual
Meeting
and benefit
fromWang
its challenging
and intellectually
stimulating
programme,
I hope you will enjoyHarminder
EFMA’s 24ththSingh
I hope you will enjoyUniversity)
EFMA’s 24th Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24th stay
I wish
a very
pleasant
in
Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24 stay
Discussant
Aurelio
Vasquez
(ITAM)
and
I wish you all a very
pleasant
stay in
Breukelen.
and I wish you all a very
pleasant
stay
in Breukelen.
The
Forecast
Dispersion
Dennis Vink – EFMA 2015 Program Chair Anomaly Revisited: Intertemporal Forecast Dispersion and the CrossDennis Vink – EFMASection
2015 Program
of StockChair
Returns
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program
Chair
Professor
of Finance
and
Investment
Dennis Vink
– EFMADongcheol
2015
Program
Chair University Business School), Haejung Na (Korea University Business School)
Kim
(Korea
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Nyenrode
Business
Professor
of
FinanceUniversiteit
and Investment
Discussant
Eleni
Gousgounis (Stevens Institute of Technology)
and
Nyenrode
Business Universiteit
and
Nyenrode
Business Universiteit
Visiting
Professor of Finance,
and
Visiting
Professor
of Fixed
Finance,
and
Session
F10 University
Income III
13:45-15:30
Room 103
Moscow
State
Visiting
Professor
of Finance,
Moscow
State
University
Visiting
Professor
ofChanatip
Finance, Kitwiwattanachai (University of Connecticut)
Session
Chair
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
35
1
Session F7
Session Chair
1
1
1
Discussant
Discussant
Discussant
Analyzing Hedging Strategies for Fixed Income Portfolios: A Bayesian Approach for Model
Selection
Dominik Wolff (Uni Giessen), Wolfgang Bessler (Uni Giessen)
Deniz Erdemlioglu (IESEG School of Management)
The Equity-like Behaviour of Sovereign Bonds
Andrei Stancu (ICMA Centre), Alfonso Dufour (ICMA Centre), Simone Varotto (ICMA Centre)
Marina Balboa (University of Alicante)
Liquidity and Corporate Debt Market Timing
Marina Balboa (University
ofAnnual
Alicante), Belén
Nieto (University of Alicante)
2015
Conference
2015
Annual
Conference
Myuran Rajaratnam
(University
of
Witwatersrand) 2015 Annual Conference
June
24
–
27,
2015
2015
Annual
Conference
June
24
–
27,
2015
June
24
–
27,
2015
Session F11
Venture Capital
I
13:45-15:30
Room AH-G
Nyenrode
Business
Universiteit
June
24
–
27,
2015
Nyenrode
Business
Universiteit
Session Chair José Martí Nyenrode
(Universidad Complutense
de
Madrid)
Business
Universiteit
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I wish
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University of Economics and Business)
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Dennis Vink – EFMA 2015 Program Chair
Dennis Vink – EFMA 2015 Program Chair
Session
G2Finance
Asset
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17:45-19:30
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Professor
of
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Dennis
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– EFMA
2015
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of
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Dennis
Vink
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Session of
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Billio (University Cà Foscari Venice)
Nyenrode
Business
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FinanceUniversiteit
and Investment
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Farka (California State University), Amadeu DaSilva (California State University)
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Moscow
State University
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State University
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and
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Moscow
State University of Denmark
and Technical
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State University of Denmark
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and Technical University of Denmark
36
1
1
1
1
Discussant
Discussant
Equilibrium-based Volatility Models of The Market Portfolio Rate of Return (Peacock Tails or
Stotting Gazelles)
David Feldman (UNSW Australia), Xin Xu (Commonwealth Bank of Australia)
Vineet Agarwal (Cranfield University)
Risk-Neutral Systematic Risk and Asset Returns
Xi Fu (Lancaster University), Mark Shackleton (Lancaster University)
Enrique Salvador (University College Dublin)
Monetary Policy I2015 Annual Conference 17:45-19:30
Room AH-D
2015
Annual
Conference
Jorge M. Uribe (Universidad
del
Valle)
2015
Annual
Conference
June
–
27,
2015
Annual
Sovereigns and banks
in the
euro24
area:
aConference
tale of2015
two crises
June
24
–
27,
2015
June
24
–
27,
2015
Marta Gómez-Puig
(Universitat
de
Barcelona),
Simón
Sosvilla-Rivero (Universidad Complutense de
Nyenrode
Business
June
24 – 27, Universiteit
2015
Nyenrode
Business
Universiteit
Madrid), Manish
K. Singh (Universitat
de Barcelona)
Nyenrode
Business
Universiteit
Breukelen,
THE
NETHERLANDS
Nyenrode
Business
Universiteit
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Martin Martens
(Erasmus University
Rotterdam)
Breukelen,
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Justinas Brazys
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Association
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Friends
of
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European
Financial
Management
Association
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Quantitative
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Discussant
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Dennis
Vink – EFMA
2015 Program
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Dennis Vink – EFMA 2015 Program Chair
Professor
of Finance
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Dennis Vink
– EFMAand
2015
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of
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Dennis
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– EFMAand
2015
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G6Finance
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17:45-19:30
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Nyenrode
Business
Universiteit
Professor
of
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Nyenrode
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of
Finance
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Chair
Mathijs
van
Dijk,
Erasmus
University
Rotterdam
School
of
Management
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit Stock Price Risk in Developed Markets Using Extreme Measures
Visiting
Professor ofAssessing
Finance,
and
Visiting Professor ofLorne
Finance,
and
Switzer (Concordia University)
Moscow
State University
Visiting Professor
of Finance,
Moscow
State University
Visiting
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Finance, Wolff (Uni Giessen)
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Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
37
1
Session G3
Session Chair
1
1
1
Discussant
Discussant
The Devil is in the Detail: Media-Expressed Negative Sentiment and Firm-Level Stock Returns
Sha Liu (University of Southampton), Khurshid Ahmad (Trinity College Dublin), Colm Kearney
(Monash University), Elaine Hutson (Monash University)
Andrew Chen (Federal Reserve Board)
Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS
Specification
Ai jun Hou (Stockholm University), Hossein Asgharian (Lund University), Charlotte Cristiansen
(Aarhus university)
Keith Cuthbertson2015
(Cass Business
School)Conference
Annual
2015
Annual
Conference
2015
Annual
Conference
June
24
–
27,
2015
2015
Annual
Conference
Session G7
Bankruptcy III
17:45-19:30
Room AH-J
June
24
–
27,
2015
June
24
–
27,
2015
Session Chair Mario Hernandez
Tinoco
(University
of
Groningen)
Nyenrode
Business
June
24 – 27, Universiteit
2015
Universiteit
In the Path Nyenrode
of the Storm: DoesBusiness
Distress Cause Non-Financial
Firms To Risk-Shift?
Nyenrode
Business
Universiteit
Breukelen,
THE
NETHERLANDS
Nyenrode
Business
Universiteit
Oksana Pryshchepa
(The University
of Birmingham),
Kevin Aretz (University of Manchester),
Breukelen,
THE
NETHERLANDS
Breukelen,
THE
NETHERLANDS
Shantanu Banerjee
(Lancaster University)
Breukelen,
THE
NETHERLANDS
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Discussant
(Universidad
CarlosManagement
III de Madrid)Association (EFMA),
Dear
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of the European
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Dear Colleagues andWhy
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(EFMA),
are
Successive
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Dear Colleagues and Friends of the European Financial Management
Association (EFMA),
It is a great pleasureAnup
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true privilege
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Gibilaro
of Bergamo)
University Stern School of Business and Professor Ralph Koijen from London Business School.
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Koijen from London Business School.
Discussant
Maria
Cristina Rossi
(University
of Torino)
It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
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the perseverance
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It would be and
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and
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unfailing
support.Miša
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dedication
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heartfelt
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and
Professor
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grateful
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University),
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grateful
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invaluable
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Beau
Soederhuizen
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work.
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last but not
Discussant
Maurizio
(Erasmus
School
Economics)
Professors
Alessandro
Carretta
and
Gianluca
their
helpful
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prompt advice
needed.
least,
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JohnMontone
Doukas,
the Mattarocci,
EFMA
staffforof
and
the
Programme
Co-Chairs
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2014 EFMA
conference,
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Alessandro
Carretta
and
Gianluca
Mattarocci,
for
their
helpful
support
and
prompt
advice
whenever
needed.
least,
I thank
Professor
John
Doukas,
the
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staff
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2014
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Financial
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prompt advice whenever needed.
Professors Alessandro
Carretta
and(University
Gianluca Mattarocci,
for their helpful support and prompt advice whenever needed.
Marc
Kramer
of
Groningen)
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
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industry
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Doukas,
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andAward
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and
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for
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for
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the
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Riepeand
(Eberhard
Karls
University)
providing
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GARP, Euronext,
Larry
John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing
the
necessary
resources,
not
only
administratively
and
physically,
but
also
financially.
GARP,
Euronext,
Larry
Lang
and
John
Doukas,
and
finally
to
Nyenrode
Business
Universiteit
and
the
Centre
for
Finance
for
Discussant
Marcresources,
Kramer (University
of Groningen) and physically, but also financially.
providing
the necessary
not only administratively
providing the necessary resources,
not
only
administratively
and
physically,
but
also
financially.
I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I hope you will enjoy EFMA’s 24th Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24th stay
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24 stay
and
I
wish
you
all
a
very
pleasant
stay
in
Breukelen.
Friday,
2015stay in Breukelen.
and
I wish youJune
all a very26
pleasant
Dennis Vink – EFMA 2015 Program Chair
Dennis Vink – EFMA 2015 Program Chair
Professor
of
and
Investment
Dennis
Vink
– EFMA
2015
Program
Chair Evaluation I
Session
H1Finance
Portfolio
Performance
8:30-10:15
Room AH-B
Professor
of
Finance
and
Investment
Dennis
Vink
– EFMA
2015
Program
Chair
Nyenrode
Business
Universiteit
Professor
of
FinanceKeith
and Investment
Session
Chair
Cuthbertson
(Cass
Business
School)
Nyenrode of
Business
Professor
FinanceUniversiteit
and Investment
and
Nyenrode Business An
Universiteit
Analysis of the Dynamics of Efficiency of Mutual Funds
and
Nyenrode
Business Universiteit
Visiting
Professor ofSofia
Finance,
and
Ramos (NEOMA Business School), Jorge Galan (Universidad Carlos III de Madrid), Helena
Visiting Professor of Finance,
and
Moscow
State University
Visiting Professor
ofVeiga
Finance,
(Universidad Carlos III de Madrid)
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
38
1
1
1
1
Discussant
Discussant
Discussant
Kian Tan (University of Otago)
Alphas in disguise: A new approach to uncovering them
Natasa Todorovic (Cass Business School), Raju Chinthalapati (University of Greenwich), Cesario
Mateus (University of Greenwich)
Jun Yang (University of Kent)
Why optimal diversification cannot consistently outperform naive diversification: Evidence
from tail risk exposure.
Simon Xu (Monash University), Inchang Hwang (Korea Insurance Research Institute), Francis In
(Monash University)
2015
Annual
Conference
2015
Annual
Philipp Gerlach (Goethe
University)
2015 Annual Conference
Conference
June
24
–
27,
2015
2015
Annual
Conference
June
24
–
27,
2015
June
24
–
27,
2015
Session H2
Agency theory
II
8:30-10:15
Nyenrode
Business
Universiteit
June
24
–
27,
2015
Nyenrode
Business
Universiteit
Session Chair Henk Berkman
(University
of
Auckland)
Nyenrode
Business
Universiteit
Breukelen,
THE
NETHERLANDS
Nyenrode
Business
Universiteit
Board Involvement
in the M&A
Negotiation
Process
Breukelen,
THE
NETHERLANDS
Breukelen,
THE
NETHERLANDS
Gul Demirtas
(Sabanci University)
Breukelen,
THE NETHERLANDS
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Room AH-C
Discussant
Fang
(University
of Financial
Gothenburg)
Dear
Colleagues andDawei
Friends
of the
European
Management Association (EFMA),
Dear Colleagues andFamily
Friends
of the European
Financial
Management
Association
(EFMA), for Minority Investors?
Ownership
in
European
Acquiring
Firms:
A Mixed Blessing
Dear Colleagues and Friends of the European Financial Management
Association
(EFMA),
It is a great pleasureCorneel
and a true
privilege
for
me,
on
behalf
of
the
Centre
for
Finance
Nyenrode
Business
Universiteit, to
Defrancq
(KUforLeuven),
Nancy of
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Luypaert
(Vlerick
It is a great pleasure and a true
privilege
me,
on behalf
the Centre (KU
for Finance
atMathieu
Nyenrode
Business
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th
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Discussant
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Earnings Management I
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Jan Riepe (Eberhard Karls University)
Risk Cluster Framework - How to Analyse Companies by Operating Leverage
Andreas Grüner (University of St. Gallen), Fabian Schönenberger (M1 AG, St. Gallen)
Subramanian R. Iyer (University of New Mexico)
Mandatory IFRS Adoption and Earnings Quality: The Impact of Country-Specific Factors
Hussein Halabi (University of Essex), Idlan Zakaria (University of Essex)
Long Yi (Hong Kong Baptist University)
Does Accounting2015
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Christodoulos Louca
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Limit Hits and Informationally Related Stocks
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University
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Alessandro
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Alessandro
Carretta
and
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Professors Alessandro
Carretta
and Gianluca
Mattarocci,
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Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
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andAward
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Doukas,
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andAward
the Centre
for Finance
for
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andLarry
Malcolm
for their
dedication
and academic
support,
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sponsors,
to EFMA,
providing
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but also
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Larry Lang
and John
Doukas,
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providing
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Doukas,
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Sessionthe necessary
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Schooland
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House of Finance
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I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
Organizer
I hope you will enjoy EFMA’s 24th Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24th stay
I wish
a very
pleasant
in Breukelen.
Annual
Meeting
andSchool
benefitoffrom
its challenging and intellectually stimulating programme,
Panelists
Professor
Bo stay
Becker,
Stockholm
Economics
Iand
hope
you you
will all
enjoy
EFMA’s
24
and I wish you all a very pleasant stay in Breukelen.
“Six pleasant
Years of Reform
and Regulation - What has Changed in Credit Ratings?”
and I wish you all a very
stay in Breukelen.
Dennis Vink – EFMA 2015 Program Chair
Dennis Vink – EFMA
2015 Program
Chair
Professor
Jakob de
Haan, University of Groningen and Dutch Central Bank
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
“More
regulation,
not better regulation?”
Professor
of Finance
and
Investment
Dennis Vink
– EFMA
2015
Program but
Chair
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Nyenrode of
Business
Professor
Anil Kashyap, University of Chicago, Booth School of Business
Professor
FinanceUniversiteit
and Investment
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
“What went wrong with the credit rating agencies”
Visiting
Professor of Finance,
and
Visiting Professor of Lelio
Finance,
Lapresa, Senior Officer Credit Rating Agencies Unit at ESMA
and
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of “ESMA,
Finance,the pan-European Watchdog and direct supervisor of credit rating agencies: an evolving riskand
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
41
1
1
1
1
based supervisory approach founded on the objective of ensuring high quality credit ratings in the
European Union”
Gerben de Noord, Standard & Poor’s, European Policy Advisor Global Regulatory Affairs department
at Standard & Poor’s
“Credit rating agency regulation in a global context”
Session I1
Session Chair
Depository Institutions V
15:45-17:30
Room AH-B
Gabrielle Wanzenried (Lucerne University of Applied Sciences and Arts)
Bonus Caps, Deferrals
andAnnual
Banks' Risk-Taking
2015
Conference
2015
Annual
Conference
Esa Jokivuolle (Bank
of
Finland),
Jussi
Keppo
(National University Singapore), Xuchuan Yuan
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June
24
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27,
2015
2015
Annual
Conference
(National University Singapore)
June
24
–
27,
2015
June
24
–
27,
2015
Discussant
Jing-ming Guo
(University
of Southampton)
Nyenrode
Business
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June
24
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2015
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Business
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Business
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THE
NETHERLANDS
Nyenrode
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Ivan Lim (University
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Business
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Breukelen,
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NETHERLANDS
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(University
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of Birmingham)
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Management
15:45-17:30
Room AH-G
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Professor
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Dennis Vink
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Yomna
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Kati
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State University of Denmark
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42
1
1
1
1
Discussant
Discussant
Song Zhang (University of Portsmouth)
Do Firms Hold too Much Cash? Evidence from Private and Public Firms
Natalia Reisel (Fordham University), Sandra Mortal (University of Memphis)
Yomna Abdulla (Manchester Business School)
Session I5
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15:45-17:30
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Andrew Chen (Federal Reserve Board)
The non-linear trade-off between return and risk: a regime-switching multi-factor framework
Enrique Salvador2015
(University
College Dublin),
John Cotter (University College Dublin)
Annual
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Annual
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2015
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Lidia Sanchis
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Antonio
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Dear Colleagues and Friends Shi
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Dear Colleagues and Friends of the European Financial Management Association (EFMA),
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also
grateful
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Soederhuizen
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impressive
work.
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last
but not
David
Moreno
(Universidad
Carlos
IIIand
de
Madrid),
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Rodriguez
(Universidad
Carlos
III
deconference,
Madrid),
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Alessandro
Carretta
and
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their
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needed.
least, I thank
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Doukas,
the Mattarocci,
EFMA
stafffor
and
the
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Co-Chairs
of the whenever
2014
EFMA
conference,
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Alessandro
Carretta
and
Gianluca
Mattarocci,
for
their
helpful
support
and
prompt
advice
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needed.
least,
I thank
Professor
John
Doukas,
the
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staff
and
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Programme
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of
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2014
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conference,
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Zambrana
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Carlos
de helpful
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Carretta
and Gianluca
Mattarocci,
forIIItheir
Professors
Alessandro
Carretta
and
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Mattarocci, for their helpful support and prompt advice whenever needed.
Discussant
Simon
Xu
(Monash
University)
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Finally, I would like Dynamic
to extendreturn-based
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Finally, I for
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Finally,
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University),
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Van
Discussant
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Carlos
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Madrid)
GARP,
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Doukas,
and finally toand
Nyenrode
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providing
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physically,
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financially.
GARP,
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Larry
Lang
and
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Doukas,
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finally
to
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and
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Sessionthe
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Riskresources,
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andadministratively
Financial Engineering
II
15:45-17:30
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providing
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(HEC Paris)
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hope youChair
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I wish
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Iand
hope
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Economics
Maria
Rocha
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João Gama
and I wish you all a very pleasant stay in Breukelen.
and I wish you all a very
pleasant
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in
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(School
of Economics
Dennis Vink – EFMA
2015 Program
Chairand Management, University of Porto), Elísio Brandão (School of Economics
Dennis Vink – EFMA
2015
Program Chair
and
Management,
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Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Professor
of Finance
and
Investment
Dennis
Vink
– EFMA
2015
Program
Chair
Discussant
Massimiliano
Barbi
(University of Bologna)
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Nyenrode of
Business
Professor
FinanceUniversiteit
and Investment
Model
and
estimation
risk in credit risk stress tests
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
Michael
Tuchscherer
(University
Osnabrueck), Peter Grundke (University Osnabrueck), Kamil
Visiting
Professor of Finance,
and
Visiting Professor of Pliszka
Finance,(Deutsche Bundesbank)
and
Moscow
State University
Visiting Professor
of Finance,
Moscow
State University
Visiting
Professor
of Samuel
Finance,Sender (Tilburg University)
Discussant
and
Technical
of Denmark
Moscow
State University
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
43
1
1
1
1
Discussant
Risk Management and Distress: Hedging with Purchase Obligations
Ryan Williams (University of Arizona), Kristine Hankins (University of Kentucky)
Mario Hernandez Tinoco (University of Groningen)
Session I9
Session Chair
Market Efficiency IV
15:45-17:30
Room 03
Anil Kashyap ( University of Chicago, Booth School of Business)
There’s no smoke without fire: Does the context of earnings management contain information
about future stock returns?
Abdullah Iqbal (University
ofAnnual
Kent), NguyetConference
Nguyen (University of Kent), Radha Shiwakoti (University
2015
2015
Annual
Conference
of Kent)
2015
Annual
Conference
June
24
–
27,
2015
Annual
Conference
Discussant
Harminder Singh 2015
(Deakin
University)
June
24
–
27,
2015
June
24
–
27,
2015
Earnings Expectations
and the
Dispersion
Anomaly
Nyenrode
Business
Universiteit
June
24
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Nyenrode
Business
Universiteit
David Veenman
(Erasmus University
Rotterdam),Universiteit
Patrick Verwijmeren (Erasmus University
Nyenrode
Business
Breukelen,
THE
NETHERLANDS
Nyenrode
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Breukelen,
THE
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Discussant
Dong Jun Oh
(KAIST Business School)
Breukelen,
THE
NETHERLANDS
Dear Colleagues andStock
Friends
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Overreaction
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Dear Colleagues and Friends
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Dear Colleagues andPedro
Friends
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Association
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Piccoli
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1
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Discussant
Discussant
Spillover effects of women on boards
Vathunyoo Sila (University of Edinburgh), Angelica Gonzalez (University of Edinburgh)
Jocelyn Grira (UAE University)
Stock options and gender differences in risk taking: The moderating role of corporate
hierarchy
Maria Belda-Ruiz (University of Murcia), J.Samuel Baixauli-Soler (University of Murcia), Gregorio
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Anna Merika (University of Piraeus)
2015 Annual Conference
Annual
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2015
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Vineet Agarwal (Cranfield
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June
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June
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Nyenrode
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Adam Stivers
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Nyenrode
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Dear Colleagues and Friends
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Shi
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(University
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Dennis Vink – EFMA 2015 Program Chair
Dennis
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Marcos
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Professor
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Moscow
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Discussant
Discussant
Zih-Ying Lin (National Central University)
Factor Premium in Idiosyncratic Volatility
Yang Liu (University of Amsterdam)
Frank Song (The University of Hong Kong)
Equity Volatility Term Structures and the Cross-Section of Option Returns
Aurelio Vasquez (ITAM)
Yang Liu (University of Amsterdam)
Currency markets2015
and exchange
rates II Conference 10:45-12:30
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Annual
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Ian Marsh (Cass Business
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Astrid Schornick
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Nyenrode
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Fatih Altunok
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members
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Rector
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and
Professor
of Nyenrode,
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Trier)
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2014
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Suk Kim
School)
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Carretta
and(KAIST
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and
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helpful support and prompt advice whenever needed.
Discussant
Henry
Lahr
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Open
University,
Keynes)
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Central Bank, IMF, and the European Securities Market
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to extend my sincere
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Bank, IMF,
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would
to extend
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thanks
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thetoDutch
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of
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Yan Qiuto
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Shaukat
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GARP,
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to Nyenrode
Business
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andAward
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Malcolm
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sponsors,
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Lang
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Doukas,
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Nyenrode
Business
Universiteit
and
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Lang
and
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Doukas,
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toand
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Business
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providing
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Larry
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and
John
Doukas,
and
finally
to
Nyenrode
Business
Universiteit
and
the
Centre
for
Finance
for
The resources,
Impact of Scandals
on Mutual Fund
Flows, and Fees
providing the necessary
not only administratively
andPerformance,
physically, butMoney
also financially.
providing the necessary
resources,
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only
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physically,
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also
financially.
Tan24
(University
Otago),and
Adrian
Chapman-Davies
(KPMG
Jerrystimulating
Parwada (University
th Annual of
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benefit
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andAustralia),
intellectually
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I hope you will enjoyKian
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I hope you will enjoyofEFMA’s
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New
South
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I wish
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in Breukelen.
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Iand
hope
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I wish
a very
pleasant
in Breukelen.
Annual
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Iand
hope
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24 stay
Discussant
Carolin
Schuler
Leipzig)
and
I wish you all a very
pleasant
stay(University
in Breukelen.
and I wish you all a very pleasant stay in Breukelen.
Dennis Vink – EFMA 2015 Program Chair
Dennis
Vink
– EFMA
2015 Program
Chair II
Session
K4Finance
Market
Microstructure
10:45-12:30
Room AH-G
Professor
of
and
Investment
Dennis
Vink
– EFMA
2015
Program
Chair
Professor
of
Finance
and
Investment
Dennis
Vink
–
EFMA
2015
Program
ChairState University)
Session
Chair
Mira
Farka
(California
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Nyenrode of
Business
Professor
FinanceUniversiteit
and Investment
Shades
of Darkness: A Pecking Order of Trading Venues
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
Bart
Yueshen
(INSEAD), Albert Menkveld (VU University Amsterdam), Haoxiang Zhu (MIT Sloan)
Visiting
Professor of Finance,
and
Visiting
Professor of Marius
Finance,Zoican (VU University, Amsterdam)
and
Discussant
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
46
1
Session K1
Session Chair
1
1
1
Discussant
Discussant
Why Automated Trading Venues need Upstairs Markets
Gbenga Ibikunle (University of Edinburgh), Seth Armitage (University of Edinburgh)
Sean Foley (University of Sydney)
High-frequency trading and execution costs
Amy Kwan (University of Sydney), Richard Philip (University of Sydney)
Huichou Huang (University of Glasgow)
Session K5
Session Chair
Corporate Governance X
10:45-12:30
Room AH-H
Valerio Pesic (Sapienza
University)
2015
Annual
Conference
2015
Annual
Do Chair Independence
and
SuccessionConference
Planning Influence CEO Turnover?
2015
Annual
Conference
June
24
–
27,
2015
Annual
Conference
Christian von Drathen (The
University
of
Texas
at2015
Dallas)
June
24
–
27,
2015
June
24
–
27,
2015
Discussant
Hany Ahmad
(Hull
University
Business
School) Nyenrode
Business
June
24 – 27, Universiteit
2015
Nyenrode
Business
Universiteit
Risk Aversion
and CEO Selection
Nyenrode
Business
Universiteit
Breukelen,
THE
NETHERLANDS
Nyenrode
Business
Universiteit
Hanqing Wang
(Norwegian School
of Economics)
Breukelen,
THE
NETHERLANDS
Breukelen,
THE
NETHERLANDS
Discussant
Alan PicardBreukelen,
(Concordia University)
THE
NETHERLANDS
Dear Colleagues andWelcome
Friends of the European
Financial
Management
Association
(EFMA),
Economic
consequences
of CEO
reappointments
Dear Colleagues and Friends ofback?
the European
Financial
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Association
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Dear Colleagues andYing
Friends
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University
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Michael
Gan
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Erkens
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Dear Colleagues and Friends of the European Financial Management Association (EFMA),University Rotterdam), Herve
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University
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It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
dedication
the perseverance
of many
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colleagues
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likeorganizational
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It would be and
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the
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I wouldand
likeorganizational
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Itdedication
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the
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Professor
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support.Miša
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dedication
and ofthe
perseverance
of many
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colleagues
at Leen
Nyenrode.
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liketheir
to thank
Professor
Džoljić,
Rector
Nyenrode
Business
Universiteit,
Professor
Paape,Specifically,
Dean of Nyenrode,
unfailing
support.Miša
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dedication
and ofthe
perseverance
of many
of my and
colleagues
at Leen
Nyenrode.
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liketheir
to thank
Professor
heartfelt
thanksofalso
go to Business
Dr. ErkanUniversiteit,
Ertürk fromand
S&P
in NewLeen
YorkPaape,
and theDean
members
of the for
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Committee;
Džoljić, Rector
Nyenrode
Professor
of Nyenrode,
their unfailing
support.their
My
heartfeltRector
thanksofalso
go to Business
Dr. ErkanUniversiteit,
Ertürk fromand
S&P
in NewLeen
YorkPaape,
and theDean
members
of the for
Organizing
Committee;
Džoljić,
Nyenrode
Professor
of Nyenrode,
their unfailing
support.their
My
invaluable
academic
crucial.
grateful
to Beau
Soederhuizen
for his
work.Committee;
And last buttheir
not
heartfelt thanks
also input
go tohas
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Erkan
ErtürkI am
fromalso
S&P
in New
York and
the members
of impressive
the Organizing
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academic
crucial.
grateful
to Beau
Soederhuizen
for his
work.Committee;
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not
heartfelt
also input
go tohas
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Erkan
ErtürkI am
fromalso
S&P
in New
York and
the members
of impressive
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theI am
EFMA
andtothe
Programme
Co-Chairs
of the 2014
EFMA
invaluable
academic
input John
has been
crucial.
alsostaff
grateful
Beau
Soederhuizen
for his impressive
work.
And conference,
last but not
least, I thank
Professor
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theI am
EFMA
andtothe
Programme
Co-Chairs
of the 2014
EFMA
invaluable
academic
input John
has been
crucial.
alsostaff
grateful
Beau
Soederhuizen
for his impressive
work.
And conference,
last but not
Professors
Alessandro
Carretta
Gianluca
theirthe
helpful
support and
prompt advice
needed.
least, I thank
Professor
John and
Doukas,
the Mattarocci,
EFMA staffforand
Programme
Co-Chairs
of the whenever
2014 EFMA
conference,
Professors
Alessandro
Carretta
Gianluca
theirthe
helpful
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prompt advice
needed.
least,
I thank
Professor
John and
Doukas,
the Mattarocci,
EFMA staffforand
Programme
Co-Chairs
of the whenever
2014 EFMA
conference,
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Authority
theirlike
valuable
inputmy
for sincere
the special
sessions,
Professors
BoBank,
Becker,
Ralph
Martijn Cremers,
Van
Finally, I for
would
to extend
thanks
to thetoDutch
Central
IMF,
andKoijen,
the European
SecuritiesStijn
Market
AuthorityI for
theirlike
valuable
inputmy
for sincere
the special
sessions,
Professors
BoBank,
Becker,
Ralph
Martijn Cremers,
Van
Finally,
would
to extend
thanks
to thetoDutch
Central
IMF,
andKoijen,
the European
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Market
Nieuwerburgh
andvaluable
Malcolminput
Baker
dedication
andtoacademic
support,
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Conference
EFMA,
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forfor
thetheir
special
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Bo Becker,
Koijen, Award
Martijnsponsors,
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Stijn
Van
Nieuwerburgh
andvaluable
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dedication
andtoacademic
support,
to theRalph
Conference
EFMA,
Authority
for their
forfor
thetheir
special
sessions,
Professors
Bo Becker,
Koijen, Award
Martijnsponsors,
Cremers, to
Stijn
Van
GARP,
Euronext,
LangBaker
and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
GARP, Euronext,
LangBaker
and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP, Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP,
Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing the necessary resources, not only administratively and physically, but also financially.
providing the necessary resources, not only administratively and physically, but also financially.
I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I hope you will enjoy EFMA’s 24th Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24th stay
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24 stay
and I wish you all a very pleasant stay in Breukelen.
and I wish you all a very pleasant stay in Breukelen.
Dennis Vink – EFMA 2015 Program Chair
Dennis Vink – EFMA 2015 Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Nyenrode of
Business
Professor
FinanceUniversiteit
and Investment
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
Visiting
Professor of Finance,
and
Visiting Professor of Finance,
and
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
47
1
1
1
1
EFMA 2015 List of Participants and Autors
(with session reference)
Last name
First name
Pres
Disc
Chair
A
Aabo
Tom
D1
F4
A5
Last name
First name
Pres
Disc
Chair
Chen
Chao
C1
E7
-
Chen
Chao-Chun
J6
H4
-
A3
B3
H3
B2
I9
-
J5
B1
-
E3
F3
-
C4
-
-
2015
Annual
Conference
Abdulla
Yomna
I4 2015
I4
Chen
Hsiao-Jung
Annual
Conference
2015
Annual
Conference
June
24
–
27,
2015
2015
Annual
Conference
Agarwal
Vineet
E4
G2June
J3 24 – 27,
Chen2015
Wei-Peng
June
24
–
27,
2015
Nyenrode
Business
Universiteit
2015 Yangyang
Ahmad
Hany
B6
K5June
- 24 – 27,
Chen
Nyenrode
Business
Universiteit
Nyenrode
Business
Universiteit
Breukelen,
Akbari
Amir
D3
F3
- THE NETHERLANDS
Chiang
Shu Ling
Nyenrode
Business
Universiteit
Breukelen,
THE
NETHERLANDS
Breukelen,
THE
NETHERLANDS
Alemany
Luisa
F11
D7
- THE NETHERLANDS
Chowdhury
Abu
Breukelen,
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Dear
Colleagues Fatih
and Friends of the
Association (EFMA),
Altunok
D9European
K1 Financial
- Management
Chuang
Kai-Shi
E1
G5
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Dear
Colleagues
and
Friends
of
the
European
Financial
Management
Association
(EFMA),
Diego
J1
E3me, on- behalf of the Colak
Gonul
I3
E5
- to
ItAmaya
is a great pleasure
and a true privilege
for
Centre for Finance
at Nyenrode Business
Universiteit,
It is a great pleasure and a true privilege for me,
on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
th Annual
Meeting.
Following
our
call
for
papers,
we
received
an
impressive
welcome
youpleasure
to Breukelen
and
to
EFMA’s
24
ItAnis a great
and
a
true
privilege
for
me,
on
behalf
of
the
Centre
for
Finance
at
Nyenrode
Business
Universiteit,
Li and a and
B2EFMA’sfor
C6
Cousin
A5
- to
th Annual
Meeting.
callJean-Gabriel
foratpapers,
weBusiness
received G9
an impressive
youpleasure
to Breukelen
24me,
Itwelcome
is a great
true to
privilege
on- behalf
of the Following
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Dennis Vink – EFMA 2015 Program
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Mattarocci
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Dennis Vink – EFMA 2015 Program Chair
Dennis Vink – EFMA
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Jabbour
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Dennis Vink
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Maury
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Dennis Vink
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liketheir
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Professor
Džoljić,
Rector
Nyenrode
Business
Universiteit,
Professor
Paape,Specifically,
Dean of Nyenrode,
unfailing
support.Miša
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dedication
and ofthe
perseverance
of many
of my and
colleagues
at Leen
Nyenrode.
I would for
liketheir
to thank
Professor
heartfelt
thanksofalso
go to Business
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in NewLeen
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and theDean
members
of the for
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Džoljić, Rector
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Professor
of Nyenrode,
their unfailing
support.their
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heartfeltRector
thanksofalso
go to Business
Dr. ErkanUniversiteit,
Ertürk fromand
S&P
in NewLeen
YorkPaape,
and theDean
members
of the for
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Nyenrode
Professor
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their unfailing
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invaluable
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crucial.
grateful
to Beau
Soederhuizen
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heartfelt thanks
also input
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alsostaff
grateful
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theI am
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invaluable
academic
input John
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alsostaff
grateful
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for his impressive
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last but not
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Alessandro
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Professor
John and
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the Mattarocci,
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Programme
Co-Chairs
of the whenever
2014 EFMA
conference,
Professors
Alessandro
Carretta
Gianluca
theirthe
helpful
support and
prompt advice
needed.
least,
I thank
Professor
John and
Doukas,
the Mattarocci,
EFMA staffforand
Programme
Co-Chairs
of the whenever
2014 EFMA
conference,
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Authority
theirlike
valuable
inputmy
for sincere
the special
sessions,
Professors
BoBank,
Becker,
Ralph
Martijn Cremers,
Van
Finally, I for
would
to extend
thanks
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andKoijen,
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theirlike
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for sincere
the special
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Martijn Cremers,
Van
Finally,
would
to extend
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to thetoDutch
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andKoijen,
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andvaluable
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Stijn
Van
GARP,
Euronext,
LangBaker
and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
GARP, Euronext,
LangBaker
and John
Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
Nieuwerburgh
andLarry
Malcolm
for their
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP, Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing
the necessary
resources,
not only
administratively
physically,
but also
financially.and the Centre for Finance for
GARP,
Euronext,
Larry Lang
and John
Doukas,
and finally toand
Nyenrode
Business
Universiteit
providing the necessary resources, not only administratively and physically, but also financially.
providing the necessary resources, not only administratively and physically, but also financially.
I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I hope you will enjoy EFMA’s 24th Annual Meeting and benefit from its challenging and intellectually stimulating programme,
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24th stay
I wish
a very
pleasant
in Breukelen.
Annual
Meeting and benefit from its challenging and intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24 stay
and I wish you all a very pleasant stay in Breukelen.
and I wish you all a very pleasant stay in Breukelen.
Dennis Vink – EFMA 2015 Program Chair
Dennis Vink – EFMA 2015 Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Nyenrode of
Business
Professor
FinanceUniversiteit
and Investment
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
Visiting
Professor of Finance,
and
Visiting Professor of Finance,
and
Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Finance,
and
Technical
Moscow
State University of Denmark
and Technical
Moscow
State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
51
1
1
1
1
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W O R L D T BH AE N W
K O R L D
February 2015
1401
1575
Cautiousness, Skewness
Cautiousness,
Preference, and
Skewness
the Demand
Preference,
for and the Demand for
Options
Options
James Huang and Richard
James
Stapleton
Huang and Richard Stapleton
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THE WORLD
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THE WORLD BANK ECONOMIC REVIEW
1366
Equilibrium Pricing and Trading
Equilibrium
VolumePricing
under Preference
and Trading
Uncertainty
Volume under Preference Uncertainty
Bruno Biais, Johan HombertBruno
and Pierre-Olivier
Biais, Johan Weill
Hombert and 1401
Pierre-Olivier Weill
1614
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Review
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of of
Finance
Finance
Feedback TradingFeedback
between Fundamental
Trading between
and Fundamental
Nonfundamental
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Nonfundamental Information
Ming Guo and Hui Ou-Yang
Ming Guo and Hui Ou-Yang
Demand Reduction and Ineffi
Demand
ciency in
Reduction
Multi-Unit
andAuctions
Inefficiency in Multi-Unit Auctions
Lawrence M. Ausubel, PeterLawrence
Cramton, M.
Marek
Ausubel,
Pycia,Peter
Marzena
Cramton,
Rostek
Marek
and Marek
Pycia, Marzena
Weretka Rostek 1366
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Instrumental Variables with Unrestricted
Instrumental Heterogeneity
Variables with and
Unrestricted
Continuous
Heterogeneity
Treatment and Continuous Treatment
Maximilian Kasy
1614
Maximilian Kasy
Hidden Costs of HiddenHidden
Debt Costs of Hidden Debt
Johan Almenberg and Artashes
Johan Almenberg
Karapetyan
and Artashes Karapetyan
Regression Discontinuity
Regression
andDiscontinuity
the Price Effects
and of
the
Stock
PriceMarket
EffectsIndexing
of Stock Market Indexing
Yen-Cheng Chang, Harrison
Yen-Cheng
Hong,
Chang,
andHarrison
Inessa Liskovich
Hong, and Inessa Liskovich
1331
Employer Learning, Productivity,
Employer
and the
Learning,
Earnings
Productivity,
Distribution:
andEvidence
the Earnings
from Distribution:
PerformanceEvidence from Performance
Measures
Measures
Lisa B. Kahn and Fabian Lange
Lisa B. Kahn1575
and Fabian Lange
Once Burned, Twice Shy?
Once
Financial
Burned,
Literacy
Twice and
Shy?Wealth
Financial Literacy and Wealth
Losses during the Financial
Losses
Crisis
during the Financial Crisis
Tabea Bucher-Koenen and
Tabea
Michael
Bucher-Koenen
Ziegelmeyer
and Michael Ziegelmeyer
Shadow Banking and
Shadow
BankBanking
Capital Regulation
and Bank Capital Regulation
Guillaume Plantin Guillaume Plantin
ISSN 0258-6770 (PRINT)
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Volume 29 • 2015
Volume
• Number
29 • 2015
1
• Number 1
Learning, Misallocation, andLearning,
Technology
Misallocation,
Adoption: Evidence
and Technology
from New
Adoption:
MalariaEvidence
Therapy from New Malaria Therapy
in Tanzania
in Tanzania
Achyuta Adhvaryu
1331
Achyuta Adhvaryu
THE WORLD BANK ECONOMIC REVIEW
Bargaining with VentureBargaining
Capitalists:with
When
Venture
Should
Capitalists: When Should
Entrepreneurs Show their
Entrepreneurs
Financial Muscle?
Show their Financial Muscle?
Antoine Renucci
Antoine Renucci
The Implicit CostsThe
of Trade
Implicit
Credit
Costs
Borrowing
of Trade by
Credit
Large
Borrowing
Firms
by Large Firms
Justin Murfin and Ken
Justin
Njoroge
Murfin and Ken Njoroge
ECONOMIC
ECONOMIC
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Volume 29 • Number 1 • 2015
Decomposing Euro-Area
Decomposing
Sovereign Spreads:
Euro-Area
Credit
Sovereign
and Spreads: Credit and
Liquidity Risks
Liquidity Risks
Alain Monfort and Jean-Paul
Alain Monfort
Renne and Jean-Paul Renne
Predatory Short Selling Predatory Short Selling
Markus K. BrunnermeierMarkus
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THE REVIEW OF ECONOMIC STUDIES
Collective Action Clauses
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Action Clauses for the Eurozone
Michael Bradley and Mitu
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Securitization andSecuritization
the Fixed-Rate
and
Mortgage
the Fixed-Rate Mortgage
Andreas Fuster andAndreas
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Optimal Incentive
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Information
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Articles
Corporate Governance Corporate
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Roni Michaely, Amir Rubin
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THE REVIEW OF ECONOMIC STUDIES
Weather-Induced Mood,
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Mood,
Investors,
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William N. Goetzmann,
William
Dasol
N. Kim,
Goetzmann,
Alok Kumar,
Dasol
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Kim,
QinAlok
Wang
Kumar, and Qin Wang
Volume 18 Number 6 2014
Investor Attention
Investor
and Stock
Attention
Marketand
Volatility
Stock Market Volatility
Daniel Andrei and Michael
Daniel Andrei
Hasler and Michael Hasler
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Volume 29 • Number 1 • 2015
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Volume 18 Number
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Volume 28 • Number
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28 • Number
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The Sum of All FEARS
The Sum
Investor
of All
Sentiment
FEARS Investor
and Asset
Sentiment
Prices and Asset Prices
Zhi Da, Joseph Engelberg,
Zhi Da, and
Joseph
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Gao and Pengjie Gao
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Review of Finance
Long-Term Debt
Long-Term
and Hidden
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Heski Bar-Isaac Heski
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The The
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Volume 18 Number 6 2014
Venture Capitalists
Venture
Versus
Capitalists
Angels:Versus
The Dynamics
Angels: The
of Private
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Thomas J. Chemmanur
Thomasand
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The Review of Financial Studies
The Review of Corporate Finance Studies
The Review of Corporate Finance Studies
Is the Stock Market
Is the Just
Stock
a Side
Market
Show?
JustEvidence
a Side Show?
fromEvidence
a
from a
Structural Reform
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Murillo Campello,
Murillo
Rafael
Campello,
P. Ribas, and
Rafael
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Y. Wang
and Albert Y. Wang
Review
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(Ineffective) Messages
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to Encourage
Messages
Recycling:
to Encourage
Evidence
Recycling: Evidence
from a Randomized
from
Evaluation
a Randomized
in PeruEvaluation in Peru
Alberto Chong, Dean
Alberto
Karlan,
Chong,
Jeremy
Dean
Shapiro,
Karlan,and
Jeremy Shapiro, and
Jonathan Zinman Jonathan Zinman
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2014 18 Number 6 2014
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