Preliminary Program

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September 15-17, 1995

Delta London Armouries Hotel -- London, Canada

Co-Chairs: Stephen Foerster (University of Western Ontario)
and Andrew Karolyi (Ohio State University)

• Western Business School, University of Western Ontario

Saturday, September 16
8:30am-10:00am

Session I: Financial Institutions (Springbank Room)

Chairperson: Gordon Roberts, York University

Helena Mullins, Simon Fraser University (and Vasant Naik, University of British Columbia), "Deposit insurance pricing and uncertain loan collateral value and duration mismatch"

Discussant: Jin-Chuan Duan, McGill University

Klaus Fischer, Laval University (and Jacqueline Chavez, Laval University and Edgar Ortiz, Universidad Autonoma de Mejico), "Financial liberalization and bank solvency: A multi-country study"

Discussant: John Murray, Bank of Canada

Edwin Neave, Queen's University (and Lewis Johnson, Queen's University), "Governance and the Canadian Financial Services Industry"

Discussant: Gordon Roberts, York University

Chairperson: Wayne Ferson, University of Washington

Harry Turtle, University of Manitoba (and Robert Korkie, University of Alberta), "Intertemporal variation in investment opportunity sets"

Discussant: TBA

Raymond Kan, University of Toronto (and Chu Zhang, University of Alberta), "The value-weighted average mis-specification in asset pricing models"

Discussant: Robert Grauer, Simon Fraser University

Marie Racine, Wilfrid Laurier University, "Volatility shocks, conditional co-skewness, conditional betas and asset pricing"

Discussant: Raymond Kan, University of Toronto

Chairperson: Paul Seguin, University of Michigan

John Friedlan, York University (and Elizabeth Maynes York University and Savita Verma, York University), "The long run performance of Canadian initial public offerings"

Discussant: Vijay Jog, Carleton University

Ashwani Srivastava, Carleton University (and Vijay Jog, Carleton University), "Perspectives on Canadian initial public offerings: Underpricing, long-term performance and the process of going public"

Discussant: Savita Verma, York University

Akitoshi Ito, University of Western Ontario (and Takehiko Isobe, Keio University and Joseph Kairys, University of Western Ontario), "Underpricing, subsequent equity offerings and the long run performance of Japanese IPOs"

Discussant: Brian Smith, Wilfrid Laurier University

Saturday, 10:00am-10:30am, Refreshment Break. Presentation of Multimedia Finance Software, Convergence Multimedia, Tim Opler.

Saturday, September 16 10:30am-12:00pm

Chairperson: Robert Korkie, University of Alberta

Stefan Jaschke, Humboldt Universitat zu Berlin, "Arbitrage bounds for the term structure of interest rates"

Discussant: Alan Kaplan, York University

John Rumsey, University of Toronto (and Paul Halpern, University of Toronto), "Market efficiency, institutional practice and economic constraints: The experience of the Canadian bond market"

Discussant: Joseph Kairys, University of Western Ontario

John Schmitz, University of Western Ontario, "Are U.S. variables good predictors of foreign equity risk premiums?"

Discussant: Sean Cleary, University of Toronto.

Chairperson: Ronald Giammarino, University of British Columbia

Simon Gervais, University of California at Berkeley, "Asymmetric information with random precision: A discrete random variable approach"

Discussant: Jocelyn Martel, CIRANO and Universite de Montreal

Lucy Ackert, Wilfrid Laurier University (and Bryan Church, Wilfrid Laurier University, and Mohamed Shehata, McMaster University), "Market behavior in the presence of costly imperfect information: Experimental evidence"

Discussant: Barbara Sainty, University of Western Ontario

Guo Luo, University of Western Ontario, "Futures market efficiency and irrational noise traders: Economic natural selection"

Discussant: Simon Gervais, University of California at Berkeley

Chairperson: Robert Whaley, Duke University

Edwin Neave, Queen's University, "A frequency distribution method for valuing average options"

Discussant: Kenneth Vetzal, University of Waterloo

Peter Carr, Cornell University (and Katrina Ellis, Cornell University and Vishal Gupta, Cornell University), "Static Hedging of Path-Dependent Options"

Discussant: Melanie Cao, University of Toronto

Stylianos Perrakis, University of Ottawa (and Jean Lefoll, Universite de Geneve), "The American put under transactions costs"

Discussant: Yisong Tian, Wilfrid Laurier University

Saturday, September 16 12:15pm-2:00pm

René Stulz, Kurtz Chair in Finance, Fisher College of Business, The Ohio State University
"Does the cost of capital differ across countries? An agency perspective"

Saturday, September 16 2:15pm-4:15pm

Chairperson: Ieuan Morgan, Queen's University

Rejean Legare, Laval University , "Reaction de la prime/escompte des fonds-pays a l'arrive d'information domestique et etrangere"

Discussant: Ked Hogan, McGill University

René Stulz, Ohio State University (and Jun-Koo Kang, University of California at Riverside), "Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan"

Discussant: Laurence Booth, University of Toronto

Usha Mittoo, University of Manitoba, "Industrial structure and stock returns: Evidence from Australian and Canadian markets"

Discussant: John Schmitz, University of Western Ontario

Ked Hogan, McGill University (and,Vihang Errunza McGill University, and Mao-Wei Hung, McGill University), "Characterizing world market integration through time"

Discussant: Usha Mittoo, University of Manitoba

Chairperson: Phelim Boyle, University of Waterloo

Giovanni Barone-Adesi, University of Alberta (and Francisco Delgado, University of Pennsylvania), "Call policies with flotation costs: A dog chasing its tail"

Discussant: Edwin Neave, Queen's University

Alan Kaplan, York University (and David Fowler, York University and William Mackenzie, Canada Life Assurance Company), "A comparison of call premiums on U.S. and Canadian corporate debt"

Discussant: Helena Mullins, Simon Fraser University

Alexandra MacKay, York University (and Eliezer Prisman, York University), "Valuation operators in incomplete markets: The puzzle of pricing callable bonds"

Discussant: Stefan Jaschke, Humboldt Universitat zu Berlin

Yisong Tian, Wilfrid Laurier University (and George Athanassakos, Wilfrid Laurier University), "Negative option values and the violation of boundary conditions: The extendible Canadian treasury bond puzzle"

Discussant: Alexandra MacKay, York University

Chairperson: Craig MacKinlay, University of Pennsylvania

Robert Korkie, University of Alberta (and Harry Turtle, University of Manitoba), "The analytics and geometry of self-financing portfolios"

Discussant: Michel Gendron, Laval University

Wayne Ferson, University of Washington, (and Heber Farnsworth, David Jackson, Steve Todd, and Bernard Yomtov, University of Washington), "Conditional performance evaluation"

Discussant: Robert Korkie, University of Alberta

Michel Gendron, Laval University (and Christian Genest, Laval University), "On expert use in portfolio management"

Discussant: Chu Zhang, University of Alberta

Robert Grauer, Simon Fraser University (and Frederick Shen, The Royal Bank of Canada, "On estimation risk and discrete-time dynamic portfolio theory: The evidence from asset allocation"

Discussant: Harry Turtle, University of Manitoba

Saturday, September 16 4:30pm-6:30pm

Saturday, September 16 6:45pm sharp (Hotel Entrance) Bus to Stratford Festival

Sunday, September 17 8:00am-10:00am

Chairperson: Giovanni Barone-Adesi, University of Alberta

Marie-Claude Beaulieu, Laval University (and Ieuan Morgan, Queen's University), "An intertemporal model of the basis in stock market indices: Evidence from the TSE 35 and TIPs"

Discussant: Giovanni Barone-Adesi, University of Alberta

Frans de Roon, Tilburg University (and Theo Nijman, Tilburg University and Chris Veld, Tilburg University), "Estimating risk premia in the term structure of futures prices"

Discussant: Jay Coughenour, University of Massachusetts at Boston

Ieuan Morgan, Queen's University (and Rob Trevor, University of New South Wales), "Limit moves as censored observations of equilibrium futures prices in ARCH processes"

Discussant: Jason Wei, University of Saskatchewan

Jay Coughenour, University of Massachusetts-Boston (and Hank Bessembinder, Arizona State University, Paul Seguin, University of Michigan and Margaret Smoller, Wayne State University), "Futures price volatility and spot price stationarity: Reevaluating the Samuelson hypothesis"

Discussant: Marie-Claude Beaulieu, Laval University

Chairperson: Peter Carr, Cornell University

Kenneth Vetzal, University of Waterloo (and Chenghu Ma, McGill University), "Pricing options on the market portfolio with discontinuous returns under recursive utility"

Discussant: Stylianos Perrakis, University of Ottawa

Robert Whaley, Duke University (and Jeff Fleming, Rice University, and Bernard Dumas, Duke University and HEC Paris), "Implied volatility smiles: Empirical Tests"

Discussant: Peter Carr, Cornell University

Jin-Chua Duan, McGill University, "A unified theory of option pricing with stochastic volatility - from GARCH to diffusion"

Discussant: Robert Trevor, University of New South Wales

Jason Wei, University of Saskatchewan (and M.M. Chaudhury, University of Saskatchewan), "A comparative study of GARCH (1,1) and Black-Scholes option prices"

Chairperson: Vijay Jog, Carleton University

Michael Bennett, Queen's University, "Does the market value large shareholders?"

Discussant: Tim Opler, Ohio State University

Werner DeBondt, University of Wisconsin (and Mary Bange, Michigan State University), "R&D budgets and corporate earnings targets"

Discussant: Ronald Giammarino, University of British Columbia

Tim Opler, Ohio State University (and Sheridan Titman, Boston College), "The debt-equity choice: An analysis of issuing firms"

Discussant: Werner DeBondt, University of Wisconsin at Madison

Yoser Gadhoum, University of Quebec at Rimouski, "The consequences of ownership concentration on dividend policy"

Discussant: Akitoshi Ito, University of Western Ontario

Sunday, September 17

Software demonstration: Economic Value Creation/Added - EVAluator

Vijay Jog, Carleton University and Paul Halpern, University of Toronto

Sunday, September 17 10:30am-12:00pm

Chairperson: Werner DeBondt, University of Wisconsin at Madison

Dan Weaver, Marquette University (and David Porter, Marquette University), "Do NASDAQ market makers 'paint the tape'?"

Discussant: Jean Masson, University of Ottawa

Paul Seguin, University of Michigan (and Charles Jones, Princeton University) "Transactions costs and price volatility: Evidence from commission deregulation"

Discussant: Dan Weaver, Marquette University

Brian Smith, Wilfrid Laurier University (and Richard Nason, Citibank, Michael Robinson, University of Calgary and Robert White, University of Western Ontario), "The impact of trading halts and takeover announcements on volatility of trade-to-trade returns"

Chairperson: Paul Halpern, University of Toronto

Ronald Giammarino, University of British Columbia (and Ed Nosal, University of British Columbia), "The efficiency of judicial discretion in bankruptcy law" "

Discussant: Alan Douglas, Queen's University

Jocelyn Martel, CIRANO and Universite de Montreal, "Signaling in financial reorganization: Theory and evidence from Canada" "

Discussant: Paul Halpern University of Toronto

Alan Douglas, Queen's University, "Financial policy, managerial entrenchment and corporate incentives"

Discussant: Simon Gervais, University of California at Berkeley

Chairperson: Tim Opler, Ohio State University

Peter Klein, University of Toronto, "The capital gains lock-in effect on equilibrium returns and portfolio composition"

Discussant: Moshe Milevsky, York University

Gordon Roberts, York University (and Eliezer Prisman, York University, and Yisong Tian, Wilfrid Laurier University), "Optimal bond trading and the tax-timing option in Canada"

Discussant: Peter Klein, University of Toronto

Moshe-Arye Milevsky, York University (and Eliezer Prisman, York University), "A Study on Market Inefficiencies Generated by the Canadian Tax Treatment of Equity Option Premiums""

Discussant: John Rumsey, University of Toronto

Sunday, 17