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,
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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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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,
[email protected]
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
International
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Professors
Alessandro
Carretta
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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.
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
sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Email:
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Authority
theirlike
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GARP,
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GARP,
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Larry Lang
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John
Doukas,
and
finally
to
Nyenrode
Business
Universiteit
and
the
Centre
for
Finance
for
Email:[email protected]
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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financially.
Julapa
Federal and
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Philadelphia
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I hope you will enjoy EFMA’s
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I hope you will enjoy EFMA’s
[email protected]
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th
I wish
a very
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in Breukelen.
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Iand
hope
you you
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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,
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and I wish you all a very pleasant
stay in Breukelen.
Email:
[email protected]
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
[email protected];
[email protected]
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: [email protected];[email protected]
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
[email protected]
Business
Universiteit
Breukelen,
THE
NETHERLANDS
Nyenrode
Business
Universiteit
Maurizio
Montone, Erasmus
School NETHERLANDS
of Economics
Breukelen,
THE
Breukelen,
THE
NETHERLANDS
Email:Breukelen,
[email protected] 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 [email protected]
the European Financial Management Association (EFMA),
Email:
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their
Džoljić, Rector
Nyenrode
Business
Universiteit,
and
Professor
Leen
Paape,
Dean
of
Nyenrode,
for
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Email:
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heartfeltRector
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Dr. Erkan
Ertürk fromand
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My
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go to
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Erkan
Ertürk
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members
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Gonenc,
University
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invaluablethanks
academic
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Doukas,
the
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2014
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Grira,
UAE
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theirthe
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Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
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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
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Nyenrode
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Email: [email protected]
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,
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College,
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of Business
Meeting
and benefit
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Email:
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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
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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: [email protected]
John Doukas,2015
EFM, ODU
Business School
Annual
Conference
2015
Annual
Conference
Email: [email protected]
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:[email protected]
Nyenrode
Business
Universiteit
June
24
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27,
2015
Nyenrode
Business
Universiteit
JulapaNyenrode
Jagtiani, Federal Reserve
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Business
Universiteit
THE NETHERLANDS
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Nyenrode
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Email:Breukelen,
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NETHERLANDS
A. CanBreukelen,
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THE NETHERLANDS
Dear Colleagues and Friends
of [email protected]
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 [email protected];
privilege for me,[email protected]
on behalf of the Centre for Finance at Nyenrode Business Universiteit, to
It is a great pleasure and a true privilege for me,
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Ertürk
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S&P
in
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York
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members
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the
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Mitodima,
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last but not
Professors
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Carretta
and
Gianluca
Mattarocci,
for
their
helpful
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and
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advice
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least, I thank
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John
Doukas,
the
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staff
and
the
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Co-Chairs
of
the
2014
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conference,
Asset
Allocation
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Professors
Alessandro
Carretta
Gianluca
Mattarocci,
their
helpful
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least,
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Professor
John and
Doukas,
theunder
EFMAFinancial
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the
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Professors Alessandro Carretta
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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,
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would
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Evangelia
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andAward
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andAward
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Malcolm
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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
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I wish
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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
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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
[email protected]
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: [email protected]
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: [email protected]
Masatoshi Kurusu, Ryutsu-Kagaku University
Email: [email protected]
Gianluca Mattarocci, University of Rome Tor Vergata
Email : [email protected]
William Megginson, University of Oklahoma
Email: [email protected]
Liu Wang, Providence
College,
SchoolConference
of Business
2015
Annual
2015
Annual
Conference
Email: [email protected]
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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are Professor
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Nieuwerburgh
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enhance
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University
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Koijen
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University
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Koijen
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It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
Vladimirsuch
Pazitka,
University
of Birmingham
ItParticipants
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It would be and
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Bangor
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Paape,
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heartfelt
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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
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Nyenrode
Business
and
Professor
of Nyenrode,
their unfailing
support.their
My
invaluable
academic
crucial.
grateful
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Soederhuizen
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work.Committee;
And last buttheir
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Erkan
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the members
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Erkan
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the members
of impressive
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Programme
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alsostaff
grateful
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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
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conference,
Coach
House B
Room
Professors
Alessandro
Carretta
Gianluca
theirthe
helpful
support and
prompt advice
needed.
least,
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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
[email protected];[email protected]
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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Dutch
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IMF,
andKoijen,
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Albert
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VU
University
AuthorityI for
theirlike
valuable
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for sincere
the special
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Professors
BoBank,
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Martijn Cremers,
Van
Finally,
would
to extend
thanks
to thetoDutch
Central
IMF,
andKoijen,
the European
SecuritiesStijn
Market
Nieuwerburgh
andvaluable
Malcolm
Baker
for
their
dedication
and
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:
[email protected]
Nieuwerburgh
andvaluable
Malcolm
Baker
dedication
andtoacademic
support,
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Conference
EFMA,
Authority
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input
forfor
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Martijnsponsors,
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Stijn
Van
GARP,
Euronext,
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and John
Doukas,
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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,
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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
[email protected]
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:
[email protected]
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: [email protected]
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
2015of“MERTON
H MILLER”
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Dear
Colleagues
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the European
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The refereeing process ultimately
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Email: [email protected]
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
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speech,
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Seminar,
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finance
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sponsored
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EFM
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This
intensive
one-day
seminar
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an
excellent
opportunity
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PhD
students
to
Email:
[email protected]
enhance their
research
skills
through
specific
tutorials and
interaction
leading
scholars
of the for
finance
profession.
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sponsored
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EFM
Journal.
This intensive
one-day
seminarwith
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Keynote
for theskills
Doctoral
Seminar’s
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are Professor
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from profession.
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enhance lecturers
their research
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scholars
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for theskills
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from profession.
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enhance
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tutorials
and interaction
with leading
scholars
of the finance
University
Stern School
ofThe
Business
Professor
Ralph
Koijen
from
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Keynote lecturers
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programme
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Van Nieuwerburgh
New York
Marketand
Value
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Professor
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UniversityRalph
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University Stern School of Business
and Professor
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from London
It would be impossible to organize
such a major conference without the technical, administrative and organizational support, the
Email: [email protected]
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
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It would be and
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Itdedication
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the
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Rector
Nyenrode
Business
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and
Professor
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Paape,
Dean
of
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their
unfailing
support.
My
dedication
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Optimal
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unfailing
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heartfelt
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Erkan
Ertürk
from
S&P
in
New
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and
the
members
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Committee;
their
Džoljić, Rector
Nyenrode
Business
Universiteit,
and
Professor
Leen
Paape,
Dean
of
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for
their
unfailing
support.
My
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I hope you will enjoy EFMA’s 24th Annual Meeting and benefit from its challenging and intellectually stimulating programme,
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Dennis Vink – EFMA 2015
Program
Chair
Email:
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Dennis Vink – EFMA 2015
Program
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Professor
of Finance
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Dennis Vink
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State University of Denmark
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Reversal in Market Integration: a Funding Liquidity Explanation
Amir Akbari, McGill University, Canada, H3A 1G5
Email: [email protected]
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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: [email protected]
2015 Annual Conference
2015
Annual
Conference
Swap Spread
Dynamic Bargaining
Markets
and the Negative
2015
Annual
Conference
June
24
–
27,
2015
2015
Annual
Conference
DENMARK
Sven Klingler, Copenhagen
Business
School,
June 24
– 27,
2015
24
2015
Email: Nyenrode
[email protected]
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June
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– 27,
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2015
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Universiteit
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NETHERLANDS
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Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Email:
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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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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
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Iand
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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
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Professor of
FinanceUniversiteit
and Investment
Nyenrode of
Business
Professor
FinanceUniversiteit
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Business Universiteit
Visiting
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MoscowProfessor
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Moscow
State University of Denmark
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State University of Denmark
and Technical University of Denmark
and Technical University of Denmark
20
1
1
1
1
List of Doctorate Seminar Lectures and Instructors
KeyNote Lecturers
Ralph Koijen, London Business School
Email: [email protected]
Stijn Van Nieuwerburgh, NYU Stern School of Business
2015
Email: [email protected]
2015 Annual
Annual
Conference
Conference
2015
Annual
Conference
June
24
–
27,
2015
2015
Annual
Conference
24
–
27,
2015
Tutors in Group#1: Corporate Finance June
June
24
–
27,
2015
Nyenrode
Business
Universiteit
June
24
–
27,
2015
Leonidas Barbopoulos, University
of
St
Andrews
Nyenrode
Business
Universiteit
Nyenrode
Business
Universiteit
Email: [email protected] Breukelen,
THE NETHERLANDS
NETHERLANDS
Nyenrode Business
Universiteit
Breukelen,
THE
Halit Gonenc, University of Groningen
Breukelen,
THE
NETHERLANDS
Breukelen, THE NETHERLANDS
Email:Colleagues
[email protected]
Dear
and Friends of the European Financial Management Association (EFMA),
Dear
Colleagues
andUniversity
Friends of the European Financial Management Association (EFMA),
Jocelyn
Grira, UAE
Dear
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Dear
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Annual Meeting and benefit from its challenging and intellectually stimulating programme,
IValerio
hope you
willUniversity
enjoy EFMA’s
24thDublin
IEmail:
hope [email protected]
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:
[email protected]
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
Institutions
II
C3
–
27,
2015
2015
Annual
Conference
June
24
–
27,
2015
June
24
–
27,
2015
Nyenrode
Business
Universiteit
June
24
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27,
2015I
Nyenrode
Business
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AH-E A4
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THE
NETHERLANDS
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I
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NETHERLANDS
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Risk
Management
and (EFMA),
AH-JColleagues and Friends of the European Financial
B6
C6
Dear
Management
Association
Equities I
All Other Institutions Management I
Corporate Governance III
Asset Pricing I
Market Efficiency II
Dear Colleagues and Friends of the European FinancialFinancial
Management
Association
(EFMA),
Engineering
I
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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dedication
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perseverance
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at Leen
Nyenrode.
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liketheir
to thank
Professor
Corporate
Džoljić,
Nyenrode
Business
Universiteit,
Professor
Dean Theory
of Nyenrode,
for
unfailing
support.
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perseverance
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atII Leen
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heartfelt
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members
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Professor
of Nyenrode,
their unfailing
support.their
My
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heartfeltRector
thanksofalso
go to Business
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Ertürk fromand
S&P
in NewLeen
YorkPaape,
and theDean
members
of the for
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Committee;
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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
S&P
in New
York and
the members
of impressive
the Organizing
invaluable
academic
input
has
been
crucial.
I
am
also
grateful
to
Beau
Soederhuizen
for
his
impressive
work.
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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
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markets
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input John
has
been
crucial.
alsostaff
grateful
Beau
Soederhuizen
for his impressive
work.
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last but not
least, I thank
Professor
John
Doukas,
theI am
EFMA
andtothe
Programme
Co-Chairs
of the 2014
EFMA
conference,
invaluable
academic
input
has been
crucial.
alsostaff
grateful
Beau
Soederhuizen
for his impressive
work.
And III
last but not
and
exchange
III
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
2014Finance
EFMA
conference,
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,
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.
Finally,
I
would
like
to
extend
my sincere
the Dutch Central
IMF, and
European Securities Market
Depository
Marketto
103 I would
D10 like
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F10 Bank,
Fixed Income
III the
Finally,
to extend my sincere
thanks
tobased
the Dutch Central
Bank,
IMF, and
the European Securities Market
Authority
theirlike
valuable
input
for
the
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
Institutions
III my
Accounting
AuthorityI for
theirlike
valuable
input
for sincere
the special
sessions,
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BoBank,
Becker,
Ralph
Martijn Cremers,
Van
Finally,
would
to extend
thanks
to thetoDutch
Central
IMF,
andKoijen,
the European
SecuritiesStijn
Market
Nieuwerburgh
andvaluable
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Baker
dedication
and
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the
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Award
sponsors,
to
EFMA,
Authority for their
forfor
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to
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Becker,
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Koijen,
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Cremers,
Stijn
Van
Research
I toacademic
Nieuwerburgh
andvaluable
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Baker
dedication
and
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Conference
EFMA,
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forfor
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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,
AH-G
E11
Special
Session:
F11
Venture
Capital
I
providing
the necessary
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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
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
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27,
2015
Nyenrode
Business
June
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H8 Management Compensation
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Dear Colleagues and Friends of the European Financial Management Association (EFMA),
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Dear
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Dear Colleagues and Friends of the European Financial Management Association (EFMA),
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and
Professor
Leen
Paape,
Dean
of
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support.
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27 2015
heartfelt
thanks
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andAward
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andAward
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Malcolm
for their
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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
Options
IV
providing
the
necessary
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only
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and
physically,
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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
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on behalfMichael
of the Centre
for Finance
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th
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th Annual
Discussant
Stefano
Bonini
(Stevens
Institute
of
Technology
Howe
School
of
Management,
NYU Stern
School to
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call
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11:15-13:00
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and prompt advice
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Professors Alessandro
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(University
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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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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
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Dennis Vink
– EFMAHsiangping
2015
Program
TsaiChair
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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
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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
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
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Friends of the
European Financial
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Dear Colleagues andInside
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Dennis Vink – EFMA 2015 Program Chair
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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
I Annual Conference 14:00-15:45
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2015
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June
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24
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and Market Valuation in an Emerging Economy: Evidence from China
Dennis Vink – EFMAInternationalization
2015 Program Chair
Dennis Vink – EFMAChao
2015Chen
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Moscow
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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
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June
24
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27,
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2015
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US and the UK
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Marinela Adriana
Finta
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University
of
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June
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2015 Bart Frijns (Auckland University of
Nyenrode
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Tourani-Rad
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Nyenrode
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THE
NETHERLANDS
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THE
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Value Investing:
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Dear Colleagues andBenjamin
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youChair
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Feldman
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I wish
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hope
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I wish
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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
Discussant
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
Program
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
of Finance,
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
Annual
Conference
2015
Annual
Conference
Iman Honarvar (Maastricht
University),
Dennis
Bams
(Maastricht University), Thorsten Lehnert
2015
Annual
Conference
June
24
–
27,
2015
2015
Annual
Conference
(University of Luxembourg)
June
24
–
27,
2015
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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Breukelen,
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NETHERLANDS
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THE
NETHERLANDS
Discussant
Pedro Piccoli
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University
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Breukelen,
NETHERLANDS
Dear Colleagues andThe
Friends
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Financial
Management
Association
(EFMA),Errors?
Profitability
Premium:
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Risks
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
(Hong Kong University of Science
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
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me,
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Professor
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My
Discussant
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(University
of
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heartfeltRector
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Mattarocci,
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Carretta
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Gianluca
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(Universidad
Carlos),
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(Universidad
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de
providing the necessary resources,
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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
pleasant
in Breukelen.
Annual
Meeting
andMontreal),
benefit from
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andMontreal)
intellectually stimulating programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24th stay
Discussant
Yaovi
Gassesse
Siliadin
(HEC
Michèle
Breton (HEC
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.
Bond
Yields,stay
Sovereign
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
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Nyenrode
Business
Professor
of
FinanceUniversiteit
and Investment
Discussant
Andrei
Stancu (ICMA Centre)
Nyenrode
Business
Professor
of
FinanceUniversiteit
and Investment
and
Nyenrode Business Universiteit
and
Nyenrode
Business Universiteit
Visiting
Professor
of Finance,
and
Session
D3
Pricing II
8:30-10:15
Room AH-D
Visiting
Professor
of Asset
Finance,
and
Moscow
State
University
Visiting
Professor
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
Business
Universiteit
Fabian Baetje
(Leibniz University
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),
Selection
with Mental
Accounts
and Estimation
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Friends of
the European
Financial
Management
AssociationRisk
(EFMA),
Dear Colleagues andAlexandre
Friends of Baptista
the European
Financial
Management
Association
(EFMA),
(The
George
Washington
University),
Gordon
Alexander (University of
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
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staffforand
Programme
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of the whenever
2014 EFMA
conference,
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Alessandro
Carretta
and
Gianluca
Mattarocci,
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support
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prompt
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needed.
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Doukas,
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the
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2014
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conference,
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Professors Alessandro
Carretta and
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for Science
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Larry
Lang
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Discussant
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and
from its challenging and intellectually stimulating programme,
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you will enjoyChristoph
EFMA’s 24Sorhage
th Annual Meeting
Meeting
and benefit
from itsBehavior
challenging
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stimulating
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Chinese?
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in the Chinese
th
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hope
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I wish
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and I wish you all a very
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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
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Dennis
Vink
–
EFMA
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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
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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
of the European
Management
(EFMA),
Dear Colleagues andManagement),
Friends of the Ying
European
Financial University
Management
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Dear Colleagues and Friends of the European Financial Management Association (EFMA),
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Centre for
at Nyenrode Business Universiteit, to
Liu (National
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University
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Visiting
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Impact of Target Company Pension Liabilities on Takeover Premium, Bidder’s Choice of
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Gul Demirtas (Sabanci University)
Corporate Life Cycle, Investment Banks and Shareholder Wealth in M&As
Kai-Shi Chuang (Tunghai University)
Abdullah Iqbal (University of Kent)
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Ettore Croci (Università
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(Warwick
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City
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Dennis
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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
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and Technical University of Denmark
31
1
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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
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2015
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27,
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Gonul Colak (Hanken
School
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June
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27, 2015
2015
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24
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Nyenrode
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Breukelen,
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Discussant
Discussant
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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
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Annual
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Ekaterina Zatonova
(University
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THE
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Transparency Implications
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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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(CONSOB)
Nyenrode
Business
Professor of
FinanceUniversiteit
and Investment
Nyenrode
Business
Professor
of
FinanceUniversiteit
and Investment
Discussant
Amy
Kwan (University of Sydney)
and
Nyenrode
Business Universiteit
and
Nyenrode
Business Universiteit
Need
for Speed? Exchange Latency and Liquidity
Visiting
Professor of Finance,
and
Visiting Professor of Marius
Finance,Zoican (VU University, Amsterdam), Albert Menkveld (VU University, Amsterdam)
and
Moscow
State University
Visiting Professor
of Finance,
Moscow
State University
Visiting
Professor
of Marinela
Finance, Adriana Finta (Auckland University of Technology)
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
33
1
1
1
1
Session F2
Session Chair
Discussant
Discussant
Discussant
Asset Allocation III
13:45-15:30
Room AH-C
Natasa Todorovic (Cass Business School)
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
Cesario Mateus (University of Greenwich Business School), Natasa Todorovic (City University - Cass
Business School),2015
Golam Sarwar
(University
of Greenwich Business School)
Annual
Conference
2015
Annual
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Maria Rocha Sousa
(School
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2015
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The Counterparty2015
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ChristopheNyenrode
Perignon (HEC
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Hurlin
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Business
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Nyenrode
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Young (HEC Paris)Universiteit
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NETHERLANDS
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NETHERLANDS
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Session
F3
Pricing
13:45-15:30
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Dear
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European Financial Management Association (EFMA),
Dear
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the European
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Dear Colleagues and Friends of the European Financial Management Association (EFMA),
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heartfelt
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Dr. Erkan
Ertürk from
S&P
in NewLeen
YorkPaape,
and theDean
members
of the for
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their
Džoljić,
Rector
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Nyenrode
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and
Professor
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Session
F5
Corporate
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VI
13:45-15:30
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of
Strasbourg)
least,
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invaluable
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2014 EFMA
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Alessandro
Carretta
and
Gianluca
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for
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least,
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Professor
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Doukas,
the
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staff
and
the
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of
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2014
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conference,
of Management,
Stefano
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NYU Stern
School
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their helpful- Howe
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and prompt
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Professors Alessandro
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andJustin
Gianluca
Mattarocci,
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their helpful
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advice
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School
of
Business),
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(NYU
Stern
of
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Ferrari
(NYU
Stern
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my sincere
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Finally,
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to extend
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Nieuwerburgh
andvaluable
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Empirical
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Business
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andAward
the Centre
for Finance
for
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Malcolm
for their
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support,
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Conference
sponsors,
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Doukas,
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Nyenrode
Business
Universiteit
and
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for
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Malcolm
Baker
for
their
dedication
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academic
support,
to
the
Conference
Award
sponsors,
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annual
general
meetings
providing
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resources,
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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,
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only
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and
physically,
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also
financially.
GARP,
Euronext,
Larry
Lang
and
John
Doukas,
and
finally
to
Nyenrode
Business
Universiteit
and
the
Centre
for
Finance
for
Nicoresources,
Lehmannnot
(University
of Goettingen),
providing the necessary
only administratively
andJoerg-Markus
physically, butHitz
also(University
financially.of Goettingen)
providing
the
necessary
resources,
not
only
administratively
and
physically,
but
also
financially.
Discussant
(The University
of Birmingham)
and benefit
from its challenging and intellectually stimulating programme,
I hope
you will enjoyOksana
EFMA’s Pryshchepa
24thth Annual Meeting
Annual
Meeting
and benefit
from its challenging
andperspective
intellectually stimulating programme,
I hope you will enjoyThe
EFMA’s
24of
Voice
Foreign
Blockholders:
A Corporate
Governance
th
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(University
Breukelen.
Annual
Meeting of
and
benefit from
its challenging
and
intellectually
programme,
Iand
hope
you you
will all
enjoy
EFMA’s
24 stay
Fabiola
Montalto
Calabria),
Christof
Beuselinck
(IESEG
School ofstimulating
Management)
and I wish you all a very pleasant stay in Breukelen.
and
I
wish
you
all
a
very
pleasant
stay
in
Breukelen.
Discussant
Chang
(University
Dennis
Vink – EFMABin
2015
Program
Chairof Ontario Institute of Technology)
Dennis Vink – EFMA 2015 Program Chair
Professor
of Finance
Investment
Dennis Vink
– EFMAand
2015
Program Chair
Professor
of
and
Investment
Dennis
Vink
– EFMACorporate
2015
Program
ChairII
Session
F6Finance
Takeovers
13:45-15:30
Room AH-H
Nyenrode
Business
Professor
of
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
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option prices
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Dear
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Hea Kim
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Business
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Dear
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Dear Colleagues andAFriends
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Dear Colleagues and Friends of the European Financial Management
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"Roy" Song
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University),
Yura KimBusiness
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University Stern School
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Ralph Koijen
from London
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It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
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University
Rotterdam)
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Professors
Alessandro
Carretta
Gianluca
theirthe
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theirthe
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EFMA staffforand
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of the whenever
2014 EFMA
conference,
Professors Alessandro Carretta and Gianluca Mattarocci, for their helpful support and prompt advice whenever needed.
Professors
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Carretta
and Gianluca
advice wheneverRoom
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Session F9
Market
Efficiency
III Mattarocci, for their helpful support and prompt
13:45-15:30
AH-3
Finally, I would like to extend my sincere thanks to the Dutch Central Bank, IMF, and the European Securities Market
Finally,
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to extend
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thanks to the Dutch Central Bank, IMF, and the European Securities Market
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Chair like Oscar
Stolper
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Finally,
would
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Central
Bank,
IMF,
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the European
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Driving
themy
Presence
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theRalph
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Van
Zhe
Shen
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University),
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You
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GARP,
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and John
Doukas,
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to Nyenrode
Business
Universiteit
andAward
the Centre
for Finance
for
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andLarry
Malcolm
for their
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support,
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and John
Doukas,
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andAward
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for Finance
for
Nieuwerburgh
andLarry
Malcolm
Baker
for their
dedication
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to the
Conference
sponsors,
to EFMA,
Discussant
Marta
Gómez-Puig
(Universitat
de
Barcelona)
providing
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resources,
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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
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not
only
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physically,
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financially.
GARP,
Euronext,
Larry
Lang
and
John
Doukas,
and
finally
to
Nyenrode
Business
Universiteit
and
the
Centre
for
Finance
for
Theresources,
Disappearing
High-Volume
Return
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in China’s
Market
providing the necessary
not only
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financially.
providing the necessary
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only
administratively
and
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
Breukelen,
THE
NETHERLANDS
Nyenrode
Early-StageBreukelen,
Investors’ CriteriaBusiness
and
NewNETHERLANDS
VentureUniversiteit
Financial Performance: Are They Related?
THE
Breukelen,
THE
NETHERLANDS
Luisa Alemany
(ESADE Business
School),
Jaume Villanueva (ESADE Business School)
Breukelen,
THE
NETHERLANDS
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
Discussant
(ALBA Graduate
School)
Dear
Colleagues andChristos
Friends Cabolis
of the European
Financial Business
Management
Association (EFMA),
Dear Colleagues andCrowdfunding
Friends of the Practices
European Financial
Management
Association (EFMA),
In
and
Outside
The
US
Dear Colleagues and Friends of the European Financial Management Association (EFMA),
It is a great pleasureMassimiliano
and a true privilege
for
me,
on
behalf
of
the
Centre
for Finance
at Nyenrode
Business Universiteit, to
Barbi (University
Bologna),
(University
of Bologna)
It is a great pleasure and a true privilege
for me,
on ofbehalf
of theMarco
CentreBigelli
for Finance
at Nyenrode
Business Universiteit, to
th Annual
Meeting.
Following
our
call
for
papers,
we
received Universiteit,
an impressive
welcome
youpleasure
to Breukelen
and
to
EFMA’sfor24me,
ItDiscussant
is a great
and
a
true
privilege
on
behalf
of
the
Centre
for
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I hope you will enjoyOutsourcing
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I hope you will enjoy EFMA’s 24thth Annual Meeting and benefit from its challenging and intellectually stimulating programme,
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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
Pricing
V Chair
17:45-19:30
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Professor
of
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Dennis
Vink
– EFMA
2015
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of
Finance
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Dennis
Vink
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Session of
Chair
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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Moscow
State University of Denmark
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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
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two crises
June
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27,
2015
June
24
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27,
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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
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Nyenrode
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Rotterdam)
Breukelen,
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Friends
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Quantitative
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Dennis
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Dennis Vink – EFMA 2015 Program Chair
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Nyenrode
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van
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Erasmus
University
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Business Universiteit Stock Price Risk in Developed Markets Using Extreme Measures
Visiting
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Moscow
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Moscow
State University of Denmark
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State University of Denmark
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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
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June
24
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27,
2015
2015
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Session G7
Bankruptcy III
17:45-19:30
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June
24
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27,
2015
June
24
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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
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Universiteit
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THE
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Nyenrode
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Oksana Pryshchepa
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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),
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Dear Colleagues and Friends of the European Financial Management
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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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Professors
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needed.
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for
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Marc
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John
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and finally toand
Nyenrode
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Universiteit
providing
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physically,
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also
financially.
GARP,
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Larry
Lang
and
John
Doukas,
and
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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,
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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
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It is a great pleasure and a true
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me,
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atMathieu
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th
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Earnings Management I
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Risk Cluster Framework - How to Analyse Companies by Operating Leverage
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Mandatory IFRS Adoption and Earnings Quality: The Impact of Country-Specific Factors
Hussein Halabi (University of Essex), Idlan Zakaria (University of Essex)
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Ines Chaieb (University of Geneva and Swiss Finance Institute)
Limit Hits and Informationally Related Stocks
Jia-Hau Guo (National Chiao Tung University), Lung-Fu Chang (National Taipei University of
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Laura Ballester (University of Valencia)
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and
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Paape,Specifically,
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heartfelt
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members
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Professor
of Nyenrode,
their unfailing
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Leen
Paape,
of Nyenrode,
their unfailing
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grateful
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Soederhuizen
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go tohas
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Erkan
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EFMA
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invaluable
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alsostaff
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alsostaff
grateful
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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,
Professor
Vrugt,
Universiteit
Amsterdam
and hedge
fund trader
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Alessandro
Carretta
and
Gianluca
Mattarocci,
their
helpful
support
and
prompt
advice
needed.
least,
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Doukas,
theVrije
EFMA
staffforand
the
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2014 EFMA
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andforAsset
Puzzles”and prompt advice whenever needed.
Professors Alessandro
Carretta
and Gianluca
Mattarocci,
their Pricing
helpful support
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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Finally, I for
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Doukas,
and finally
to Nyenrode
Business
Universiteit
andAward
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for Finance
for
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Malcolm
for their
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and academic
support,
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Conference
sponsors,
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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
dedication
and academic
support,
to the
Conference
sponsors,
to EFMA,
providing
the necessary
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not only
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physically,
but also
financially.and the Centre for Finance for
GARP, Euronext,
Larry Lang
and John
Doukas,
and finally toand
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Business
Universiteit
providing
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physically,
but also
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GARP,
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Larry Lang
and John
Doukas,
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for Finance for
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Sessionthe necessary
Professor
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Schooland
of Economics
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Swedish
House of Finance
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administratively
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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
2015
Annual
Conference
June
24
–
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
Universiteit
June
24
–
27,
2015
Nyenrode
Business
Universiteit
Too close for
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connectionsUniversiteit
and public subsidies in banks
Nyenrode
Business
Breukelen,
THE
NETHERLANDS
Nyenrode
Business
Universiteit
Ivan Lim (University
of EdinburghTHE
Business
School), Jens Hagendorff (University of Edinburgh
Breukelen,
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Breukelen,
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NETHERLANDS
Business School),
Seth ArmitageTHE
(University
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Breukelen,
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Dear
Colleagues andVictor
Friends
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Discussant
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(UniversityFinancial
of Birmingham)
Dear
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Financial
Management Association (EFMA),
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Session I3
Management
15:45-17:30
Room AH-G
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Stern School
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and Professor IIRalph Koijen from London Business School.
It would be impossible to organize such a major conference without the technical, administrative and organizational support, the
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Professor
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Yomna
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State University of Denmark
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42
1
1
1
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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)
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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
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John Cotter (University College Dublin)
Annual
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2015
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Lidia Sanchis
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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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Doukas,
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Mattarocci,
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Discussant
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Larry
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Riskresources,
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I wish
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Economics
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and I wish you all a very pleasant stay in Breukelen.
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(School
of Economics
Dennis Vink – EFMA
2015 Program
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Dennis Vink – EFMA
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Program Chair
and
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Professor
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Investment
Dennis Vink
– EFMAand
2015
Program Chair
Professor
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Dennis
Vink
– EFMA
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Program
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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
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Visiting
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Finance,(Deutsche Bundesbank)
and
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Visiting
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Finance,Sender (Tilburg University)
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Moscow
State University
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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
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2015
2015
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2015
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Harminder Singh 2015
(Deakin
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June
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27,
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June
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Earnings Expectations
and the
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Nyenrode
Business
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June
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Nyenrode
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David Veenman
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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
Sanchez-Marin (University of Murcia)
Anna Merika (University of Piraeus)
2015 Annual Conference
Annual
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Asset Pricing VIII2015
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2015
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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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Meeting
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Meoli
and I wish you all a very pleasant stay in Breukelen.
and I wish you all a very
pleasant
stay
in Breukelen.
(University
of
Bergamo)
Dennis Vink – EFMA 2015 Program Chair
Dennis
Vink – EFMA
2015 Program
Discussant
Marcos
GonzálezChair
Fernández (University of León)
Professor
of Finance
and
Investment
Dennis
Vink
– EFMA
2015
Program
Chair
Professor
of Finance
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Dennis Vink
– EFMAand
2015
Program Chair
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Professor of
FinanceUniversiteit
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Eric
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and
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Moscow
State University
Visiting Professor
of Finance,
MoscowProfessor
State University
Visiting
of Chao-Chun
Finance, Chen (Tunghai University), Shih-Hua Wang (Tunghai University)
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State University of Denmark
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Session Chair
1
1
1
Discussant
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
Room AH-1
Annual
2015
Annual
Conference
Ian Marsh (Cass Business
School)
2015
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June
24
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27,
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in Open
Economies
June
24
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27,
2015
June
24
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27,
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Astrid Schornick
(INSEAD)
Nyenrode
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Universiteit
June
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27,
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Nyenrode
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Discussant
Fatih Altunok
(Central Bank ofBusiness
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Nyenrode
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Dear
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Dear Colleagues and Friends of the European Financial Management Association (EFMA),
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staffforand
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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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of
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and
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Lang
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Doukas,
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toand
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Business
Universiteit
providing
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GARP,
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Larry
Lang
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Doukas,
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and
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New
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Carolin
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Leipzig)
and
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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
(EFMA),
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
of my
colleagues
at Nyenrode.
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likeorganizational
to thank Professor
It would be and
impossible
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the technical,
administrative
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the
the perseverance
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at Nyenrode.
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I wouldand
likeorganizational
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Itdedication
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a major
conference
without
the technical,
administrative
support,Miša
the
Džoljić,
Rector
Nyenrode
Business
Universiteit,
Professor
Paape,Specifically,
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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
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
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
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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
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also input
go tohas
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Erkan
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fromalso
S&P
in New
York and
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of impressive
the Organizing
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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
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,
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Alessandro
Carretta
Gianluca
theirthe
helpful
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prompt advice
needed.
least,
I thank
Professor
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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
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to theRalph
Conference
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forfor
thetheir
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Martijnsponsors,
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Stijn
Van
Nieuwerburgh
andvaluable
Malcolminput
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dedication
andtoacademic
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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,
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received G9
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to Breukelen
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is a great
true to
privilege
on- behalf
of the Following
Centre forour
Finance
Nyenrode
Universiteit,
to
number
high-quality
manuscripts,
and this
theMeeting.
refereeing
processour
a highly
indeed.
All papers
Annual
Following
call forchallenging
papers, we task
received
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to Breukelen
and to EFMA’s
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Yunbi manuscripts,
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forchallenging
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and toC1EFMA’s
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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
submitted
reviewed
blindly by
members
of EFMA’s
Programme
Committee,
who task
hail from
topAll
academic
number
of were
high-quality
manuscripts,
andexpert
this made
the refereeing
process
a highly
challenging
indeed.
papers
Andrikopoulos
Panagiotis
E5 the
A5
G9
Cuthbertson
Keith
I7
G6
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institutions
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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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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
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Professor
Paape,Specifically,
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unfailing
support.Miša
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members
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their unfailing
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and theDean
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grateful
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conference,
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Alessandro
Carretta
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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,
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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
51
1
1
1
1
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