Western Finance Association

 

2007 Program

 

 

 

 

 

 

 

 

 

 

42st Annual Conferrence

of the Western Finance Association

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Big Sky Resort

Big Sky, Montana

 

June 25-28, 2007

 

 

 

 

 

WESTERN FINANCE ASSOCIATION

 

We are a professional society administered in the United States and Canada for academicians and practitioners with a scholarly interest in the development and application of research in finance.

 

Our purpose is (1) to serve as a focal point for communication among members, (2) to improve teaching and scholarship, and (3) to provide for the dissemination of information, including the holding of meetings and the support of publications.

 

The Association is an international organization with membership open to individuals from both the academic and professional community, and to institutions.  Two classes of membership are available: lifetime membership ($150.00) and three-year membership ($50.00). Members of the Association are entitled to receive a reduction in the registration fee at the annual meetings. You are invited to join or renew on-line at the WFA’s informational web site, http://www.westernfinance.org.

Correspondence regarding membership and other business aspects of the Association should be addressed to:

 

                Professor Duane Seppi

                Secretary-Treasurer, WFA

                Tepper School of Business

                Carnegie Mellon University

                Pittsburgh, PA 15213-3890

                Email: ds64@andrew.cmu.edu

                Telephone: (412) 268-2298

 

 

A call for papers and participants for the 2008 Conference of the Western Finance Association appears at the end of this program.


 

 

REGISTRATION AND HOTEL INFORMATION

 

All sessions and conference functions will be held at Big Sky Resort. On-site registration for the conference will be located in the Firehole Lounge on the following schedule:

 

Monday, June 25, 2007, 4:00 pm – 8:00 pm

Tuesday, June 26, 2007, 8:00 am – 4:00 pm

Wednesday, June 27, 2007, 8:00 am –  12:00 noon

 

PRE-REGISTRATION

 

Pre-registration is at our web site, http://www.westernfinance.org. Those who pre-register are entitled to a discount on registration fees. To qualify for these discounted rates you must pre-register before June 4, 2007. [Duane please check] DS: I've put in the correct date.

See the web site for details.  Checks must be sent to Mary Ann O'Brien or the Secretary-Treasurer at the address shown on the previous page.

 

FEE SCHEDULE

                                                Pre-Registration   On-site Registration

WFA member                                       $75                                          $125

Non-member                                         $125                                        $175

Student                                  No Charge                             $30

 

 

 

SPECIAL EVENT REGISTRATION

 

Registration for the WFA Annual Meeting Luncheon and other special events will be done at the time of pre-registration on the WFA website and on-site (subject to availability) for those who do not pre-register. Because space is limited, registration is required for any of the breakfasts, luncheons, or evening receptions. The WFA makes every attempt to make these events free to registrants, but reserves the right to charge for these events if sponsorships do not cover the full cost.

 

SOCIETY FOR FINANCIAL STUDIES MEMBERSHIP MEETING

 

All members of the SFS are invited to attend the Annual Meeting to be held on Wednesday, June 27,  2007 from 5:00 pm - 6:00 pm in the Lamar/Gibbon Room.  All subscribers to the Review of Financial Studies are members of the SFS.


 

WESTERN FINANCE ASSOCIATION

 

 

 

Officers and Executive Committee: 2006-2007

 

President                               Sheridan Titman, University of Texas at Austin

President-Elect                     Campbell R. Harvey, Duke University

Vice President                      Artur Raviv, Northwestern University

Secretary-Treasurer             Duane Seppi, Carnegie Mellon University     

 

Directors                                Kent Daniel, Northwestern University

                                                Ronald Giammarino, University of British Columbia

                                    William Goetzmann, Yale University

                                                David Hirshleifer, Ohio State University

                                                Narasimhan Jegadeesh, Emory University

                                                Tobias Moskowitz, University of Chicago

 

Presidents: 1965-2007

 

1965-66                   Kenneth L. Trefftzs                              University of Southern California

1966-67                   Edward Reed                                         University of Oregon         

1967-68                   Robert Carr                                            Fresno State College          

1968-69                   Burton Kolb                                          University of Colorado      

1969-70                   Lester Stickler                                       Oregon State University    

1970-71                   Harold Stevenson                                Arizona State University   

1971-72                   W. Scott Bauman                                 University of Oregon         

1972-73                   David Eiteman                                      University of California, Los Angeles

1973-74                   James Wert                                           University of Arizona         

1974-75                   George Kaufman                                  University of Oregon         

1975-76                   John Herzog                                          Simon Fraser University    

1976-77                   A. Blaine Huntsman                            University of Utah              

1977-78                   David Pyle                                             University of California, Berkeley

1978-79                   Guilford Babcock                                 University of Southern California

1979-80                   Donald Farrar                                        University of Utah              

1980-81                   Charles D’Ambrosio                            University of Washington

1981-82                   James Van Horne                                 Stanford University            

1982-83                   Edward Dyl                                           University of Wyoming     

1983-84                   Nils Hakansson                                    University of California, Berkeley

1984-85                   Seha Tinic                                             University of Texas, Austin

1985-86                   Alan Kraus                                            University of British Columbia         

1986-87                   Gerald Bierwag                                     University of Arizona         

1987-88                   Robert Litzenberger                             University of Pennsylvania               

1988-89                   Alan Hess                                             University of Washington

1989-90                   Lemma Senbet                                      University of Maryland     

1990-91                   Eduardo Schwartz                                University of California, Los Angeles

1991-92                   Stephen Brown                                     New York University          

1992-93                   Hans Stoll                                              Vanderbilt University         

1993-94                   Kenneth Singleton                               Stanford University            

1994-95                   Milton Harris                                        University of Chicago        

1995-96                   Chester S. Spatt                                    Carnegie Mellon University              

1996-97                   Michael J. Brennan                              University of California, Los Angeles

1997-98                   Maureen O’Hara                                  Cornell University               

1998-99                   Franklin Allen                                       University of Pennsylvania               

1999-00                   Richard C. Green                                  Carnegie Mellon University              

2000-01                   Wayne Ferson                                      University of Washington

2001-02                   Douglas W. Diamond                          University of Chicago

2002-03                   Philip H. Dybvig                                   Washington University, St. Louis

2003-04                   René M. Stulz                                       Ohio State University

2004-05                   Ravi Jagannathan                                Northwestern University

2005-06                   Mark Grinblatt                                      University of California, Los Angeles

2006-07                   Sheridan Titman                                   University of Texas at Austin

 

               


 

Distinguished Speakers

 

WFA Annual Meeting Speakers 1979-2007

 

           Year                  Location                                   Speaker        

           1979                   San Francisco                          Nils Hakansson           

           1980                   San Diego                                Kenneth Arrow           

           1981                   Jackson Lake                           Eugene Fama               

           1982                   Portland                                    Stephen Ross              

           1983                   Long Beach                             Myron Scholes            

           1984                   Vancouver                               Richard Roll 

           1985                   Scottsdale                                Robert Litzenberger    

           1986                   Colorado Springs                    Merton Miller              

           1987                   San Diego                                Edward Kane               

           1988                   Napa                                         Sanford Grossman      

           1989                   Seattle                                       William Sharpe            

           1990                   Santa Barbara                          Michael Brennan         

           1991                   Jackson Lake                           Fischer Black               

           1992                   San Francisco                          Myron Scholes            

           1993                   Whistler                                   Alan Kraus   

           1994                   Santa Fe                                   Mark Rubinstein         

           1995                   Aspen                                       Kenneth French          

           1996                   Sunriver                                    Joseph Williams          

           1997                   San Diego                                Richard Thaler             

           1998                   Monterey                                 Milton Harris               

           1999                   Santa Monica                          Andrei Shleifer            

           2000                   Sun Valley                                Kenneth Singleton      

           2001                   Tucson                                     Robert Shiller               

           2002                   Park City                                   Albert S. “Pete” Kyle 

           2003                   Los Cabos                                Richard Kihlstrom

           2004                   Vancouver                               Michael C. Jensen

           2005                   Portland                                    Douglas Breeden

           2006                   Keystone                                 Douglas Diamond

           2007                   Big Sky                                     John Y. Campbell

 

­


 

2007 Program Committee

 

Program Co-Chairs

 

Michael Brandt, Duke University

Alon Brav, Duke University

Cam Harvey, Duke University

 

 

Program Committee Associate Chairpersons

 

Simon Gervais, Duke University 

Ron Kaniel, Duke University 

Manju Puri, Duke University

Adriano Rampini, Duke University

David Robinson, Duke University 

 

Program Committee Assistant  Chairperson

Jules H. van Binsbergen, Duke University

 

Program Committee Members

 

 

Viral Acharya, London Business School

Rajesh Aggarwal, University of Minnesota

Reena Aggarwal, Georgetown University

Anup Agrawal, University of Alabama

Hengji Ai, Duke University

Yacine Ait-Sahalia, Princeton University

Andres Almazan, University of Texas

Heitor Almeida, New York University

Andrew Ang, Columbia University

Doron Avramov, University of Maryland

Ulf Axelson, Stockholm Institute for Financial Research

Warren Bailey, Cornell University

Malcolm Baker, Harvard University

Gurdip Bakshi, University of Maryland

Brad Barber, University of California, Davis

Nicholas Barberis, Yale University

David Bates, University of Iowa

Geert Bekaert, Columbia University

Harald Benink, Erasmus University Rotterdam

Luca Benzoni, Chicago FED and University of Minnesota

Daniel Bergstresser, Harvard University

Elazar Berkovitch, IDC

Antonio Bernardo, University of California, Los Angeles

Marianne Bertrand, University of Chicago

Hank Bessembinder, University of Utah

Sanjai Bhagat, University of Colorado

Harjoat Bhamra, University of British Columbia

Utpal Bhattacharya, Indiana University

Nick Bollen, Vanderbilt University

Philip Bond, University of Pennsylvania

Kobi Boudoukh, IDC

Gregory Brown, University of North Carolina

David Brown, University of Wisconsin, Madison

Markus Brunnermeier, Princeton University

Murillo Campello, University of Illinois, Urbana-Champaign

Murray Carlson, University of British Columbia

Jennifer Carpenter, New York University

David Chapman, Boston College

Thomas Chemmanur, Boston College

Mikhail Chernov, London Business School

Tarun Chordia, Emory University

Green Clifton, Emory University

Randoph Cohen, Harvard University

Pierre Collin-Dufresne, University of California, Berkeley

Jennifer Conrad, University of North Carolina, Chapel Hill

Francesca Cornelli, London Business School

John Cotter , University College Dublin

Josh Coval, Harvard University

Magnus Dahlquist, Swedish Institute for Financial Research

Kent Daniel, Northwestern University

Adolfo De Motta, McGill University

Harry DeAngelo, University of Southern California

Linda DeAngelo, University of Southern California

Diane Del Guercio, University of Oregon

David Denis, Purdue University

Mihir Desai, Harvard University

Amy Dittmar, University of Michigan

Robert Dittmar, University of Michigan

Craig Doidge, University of Toronto

Steve Drucker, Columbia University

Greg Duffee, University of California, Berkeley

Darrell Duffie, Stanford University

Bernard Dumas, University of Lausanne

Espen Eckbo, Dartmouth College

Vihang Errunza, McGill University

Wayne Ferson, Boston College

Laura Field, Penn State University

Adlai Fisher, University of British Columbia

Mike Fishman, Northwestern University

Mark Flannery, University of Florida

Jeff Fleming, Rice University

Julian Franks, London Business School

Andrea Frazzini, University of Chicago

Paolo Fulghieri, University of North Carolina

Louis Gagnon, Queen's University

Mark Garmaise, UCLA Anderson School

Chris Geczy, University of Pennsylvania

Simon Gervais, Duke University

Ron Giammarino, University of British Columbia

Scott Gibson, William and Mary

Itay Goldstein, University of Pennsylvania

Amando Gomes, Washington University

Amit Goyal, Emory University

John Graham, Duke University

John Griffin, University of Texas, Austin

Yaniv Grinstein, Cornell University

Gustavo Grullon, Rice Universtiy

Bruce Grundy, University of Melbourne

Dirk Hackbarth, Washington University, St. Louis

Kathleen Hagerty, Northwestern University

Bing Han, University of Texas, Austin

Milton Harris, University of Chicago

Jeff Harris, University of Delaware

Larry Harris, University of Southern California

Joel Hasbrouck, New York University

John Heaton, University of Chicago

Thomas Hellmann, University of British Columbia

Jean Helwege, Penn State University

Chris Hennesy, University of California, Berkeley

Steve Heston, University of Maryland

Pierre Hillion, INSEAD

David Hirshleifer, University of California, Irvine

Yael Hochberg, Northwestern University

Craig Holden, Indiana University

Burton Hollifield, Carnegie Mellon University

Edie Hotchkiss, Boston College

Kewei Hou, Ohio State University

Ming Huang, Cornell University

Eric Hughson, University of Colorado

Chuan-Yang Hwang, Nanyang Technological University

David Ikenberry, University of Illinois, Urbana-Champaign

Ronen Israel, IDC

Narashimhan Jegadeesh, Emory University

Dirk Jenter, Massachusetts Institute of Technology

Wei Jiang, Columbia University

Michael Johannes, Columbia University and Northwestern Univerity

Kose John, New York University

Tim Johnson, University of Illinois, Urbana-Champaign

Charles Jones, Columbia University

Christopher Jones, University of Southern California

Philippe Jorion, University of California, Irvine

Raymond Kan, University of Toronto

Eugene Kandel, Hebrew University

Jun-Koo Kang, Michigan State University

Ron Kaniel, Duke University

Steve Kaplan, University of Chicago

Andrew Karolyi, Ohio State University

Gautam Kaul, University of Michigan

Kenneth Kavajecz, University of Wisconsin, Madison

Simi Kedia, Rutgers University

Donald Keim, University of Pennsylvania

Matti Keloharju, Helsinki School of Economics

Susan Kerr Christoffersen, McGill University

Naveen Khanna, Michigan State University

Bong-Chan Kho, Seoul National University

Doron Kliger, Haifa University

Johan Knif, Hanken - Svenska handelshögskolan

Kees Koedijk, Erasmus University Rotterdam

Leonid Kogan, Massachusetts Institute of Technology

Robert Korajczyk, Northwestern University

Jennifer Koski, University of Washington

Arvind Krishnamurthy, Northwestern University

Pete Kyle, University of Maryland

Rafael La Porta, Dartmouth College

Chris Leach, University of Colorado

Charles Lee, Barclays Global Investors and Cornell University

Michael Lemmon, University of Utah

Joshua Lerner, Harvard University

Martin Lettau, New York University

Jonathan Lewellen, Dartmouth College

Katharina Lewellen, Dartmouth College

Bing Liang, University of Massachusetts

Erik Lie, University of Iowa

Karl Lins, University of Utah

Marc Lipson, University of Virginia

Alexander Ljungqvist, New York University

Claudio Loderer, Universitaet Bern

Francis Longstaff, University of California, Los Angeles

Florencio Lopez-de-Silanes Molina , University of Amsterdam

Michelle Lowry, Penn State University

Deborah Lucas, Northwestern University

Sydney Ludvigson, New York University

Anthony Lynch, New York University

Ananth Madhavan, Barclays Global Investors

Pascal Maenhout, INSEAD

Vojislav Maksimovic, University of Maryland

Ulrike Malmandier, University of California, Berkeley

Ron Masulis, Vanderbilt University

Rich Mathews, Duke University

Ernst Maug, Universität Mannheim

David Maurer, Southern Methodist University

Robert McDonald, Northwestern University

Andrew Metrick, University of Pennsylvania

Atif Mian, University of Chicago

Roni Michaely, Cornell University and IDC

Todd Milbourn, Washington University

Darius Miller, Southern Methodist University

Bernadette Minton, Ohio State University

Kristian Mitersen, Norwegian School of Economics and Business Administration

Erwan Morellec, University of Lausanne

Toby Moskowitz, University of Chicago

Holger Mueller, New York University

David Musto, University of Pennsylvania

Vinay Nair, University of Pennsylvania

Theo Nijman, University of Tilburg

Tom Noe, Tulane University

Kjell Nyborg, Norwegian School of Economics and Business Administration

Terrance Odean, University of California, Berkeley

Maureen Ohara, Cornell University

Barbara Ostdiek, Rice University

Hui Ou-Yang, Lehman Brothers

Darius Palia, Rutgers University

Jun Pan, Massachusetts Institute of Technology

Stavros Panageas, University of Pennsylvania

Jonathan Parker, Princeton University

Robert Parrino, University of Texas, Austin

Lubos Pastor, University of Chicago

Anna Pavlova, London Business School

Lasse Pedersen, New York University

George Pennacchi, University of Illinois

Enrico Perotti, Universiteit van Amsterdam

Mitchell Petersen, Northwestern University

Gordon Phillips, University of Maryland

Monika Piazzesi, University of Chicago

Guillaume Plantin, London Business School

Christopher Polk, London School of Economics

Jeff Pontiff, Boston College

Allen Poteshman, University of Illinois, Urbana-Champaign

N.R. Prabhala, University of Maryland

Manju Puri, Duke University

Adriano Rampini, Duke University

Joshua Rauh, University of Chicago

S. Abraham (Avri) Ravid, Rutgers University

Mark Ready, University of Wisconsin

Adam Reed, University of North Carolina

Michael Roberts, University of Pennsylvania

David Robinson, Duke University

Ehud Ronn, University of Texas, Austin

Bryan Routledge, Carnegie Mellon University

Kristian Rydqvist, Binghamton University

Gideon Saar, Cornell University

Patrik Sandas, University of Virginia

Pedro Santa-Clara, University of California, Los Angeles

Tano Santos, Columbia University

Oded Sarig, IDC

Antoinette Schoar, Massachusetts Institute of Technology

Paul Schultz, University of Notre Dame

Mark Seasholes, University of California, Berkeley

Lemma Senbet, University of Maryland

Duane Seppi, Carnegie Mellon University

Piet Sercu, Katholieke Universiteit Leuven

Tsyplakov Sergey, University of South Carolina

Henri Servaes, London Business School

Nejat Seyhun, University of Michigan

Ann Sherman, Notre Dame University

Anil Shivdasani, University of North Carolina

Erik Sirri, Babson College

Chester Spatt, SEC and Carnegie Mellon University

Erik Stafford, Harvard University

Laura Starks, University of Texas

Neal Stoughton, University of Calgary

Per Strömberg, Stockholm Institute for Financial Research

Michael Stutzer, University of Colorado

Avanidhar Subrahmanyam, University of California, Los Angeles

Amir Sufi, University of Chicago

Tyler Sumway, University of Michigan

Bhaskaran (Swami) Swaminathan, Cornell University

Chris Telmer, Carnegie Mellon University

Anjan Thakor, Washington University

Karin Thorburn, Dartmouth College

Sheri Tice, Tulane Universtiy

Stathis Tompaidis, University of Texas

Walter Torous, University of California, Los Angeles

Alex Triantis, University of Maryland

Charles Trzcinka, Indiana University

Peter Tufano, Harvard University

Raman Uppal, London Business School

Rossen Valkanov, University of California, San Diego

Dimitri Vayanos, London School of Economics

Marno Verbeek, Erasmus University Rotterdam

Pietro Veronesi, University of Chicago

Luis Viceira, Harvard University

Annette Vissing-Jorgensen, Northwestern University

S. (Vish) Viswanathan, Duke University

Ernst-Ludwig (Elu) von Thadden, University of Mannheim

Jessica Wachter, University of Pennsylvania

Neng Wang, Columbia University

Zhenyu Wang, Federal Reserve Bank of New York

Russ Wermers, University of Maryland

Ingrid Werner, Ohio State University

James Weston, Rice Universtiy

Bob Whaley, Vanderbilt University

Toni Whited, University of Wisconsin, Madison

Rohan Williamson, Georgetown University

Andrew Winton, University of Minnesota

Avi Wohl, Tel-Aviv University

Daniel Wolfenzon, New York University

Kent Womack, Dartmouth College

Jeff Wurgler, New York University

Wei Xiong, Princeton University

Amir Yaron, University of Pennsylvania

David Yermack, New York University

Bilge Yilmaz, University of Pennsylvania

Motohiro Yogo, University of Pennsylvania

Rebecca Zarutskie, Duke University

Jaime Zender, University of Colorado at Boulder

Lu Zhang, University of Michigan

Lu Zheng, University of California, Irvine

Guofu Zhou, Washington University

 


Acknowledgments

 

The Program Chair would also like to express his gratitude to the Tepper School of Business at Carnegie Mellon, Jeff Easter, Rosemarie Lang, and Patricia Niber for helping make this conference a success. We also appreciate all of the work of Tara Bowens at the Fuqua School of Business at Duke University.


 

PROGRAM SUMMARY

 

Monday, June 25, 2007

 

4:00 pm – 8:00 pm

 

On-site Registration - Firehole Lounge


6:00 pm – 9:00 pm

               

Goldman Sachs Reception - Huntley Dining Room

 

Tuesday, June 26, 2007

 

7:00 am – 8:00 am

 

NASDAQ Breakfast – Huntley Dining Room

 

8:00 am – 4:00 pm

 

On-site Registration – Firehole Lounge


8:15 am – 10:00 am

 

Product Markets & Stock Prices  - Lamar / Gibbon

Corporate Governance I  - Amphitheatre                                            

Analysts  - Mammoth Room                                            

Portfolio Choice  - Dunraven / Obsidian                                            

Microstructure  - Lake / Canyon

Law & Finance  I  - Talus Room

 

10:00 am – 10:15 am

 

Wharton Research Data Services Coffee Break – Upper Atrium

 

10:15 am – 12:00 noon

 

Models of the Cross-Section of Expected Returns  - Amphitheatre

IPOs  - Lamar / Gibbon

Disclosure  - Talus Room

Behavioral Portfolio Biases  - Dunraven / Obsidian        

Financing Constraints  - Lake / Canyon

Venture Capital  - Mammoth Room

 

12:30 pm – 2:00 pm

 

LECG Luncheon – Missouri Ballroom

 

2:45 pm – 4:30 pm

 

Asset Pricing Theory I  - Amphitheatre

CEOs  - Lamar / Gibbon   

Mutual Fund Trading Cost  - Mammoth Room    

Cross-Section of Expected Returns  - Dunraven / Obsidian

Corporate Debt  - Lake / Canyon                              

Banking  - Talus Room

 

5:00 pm – 6:30 pm

 

WFA Executive Committee and Board of Directors Meeting – Shoshone Boardroom

 

6:00 pm – 8:00 pm

 

Cornerstone Research Reception – Huntley Dining Room

 

Wednesday, June 27, 2007

 

7:00 am – 8:00 am

 

NYSE Breakfast – Huntley Dining Room


8:00 am – 12:00 noon

 

On-site Registration - Firehole Lounge


8:15 am – 10:00 am

 

Strategic Behavior by Institutions  - Lamar / Gibbon

Corporate  Governance II  - Amphitheatre

Production Based Asset Pricing  - Dunraven / Obsidian

Retail Trading  - Talus Room

Fixed Income  - Mammoth Room

Product Markets & Firm Strategy  - Lake / Canyon

 

10:00 am – 10:15 am

 

Addison-Wesley Coffee Break - Upper Atrium


10:15 am – 12:00 noon

 

Credit  - Lamar / Gibbon

Payout  - Dunraven / Obsidian

Hedge Funds  - Amphitheatre

Long Run Risk  - Lake / Canyon

Institutional Trading Incentives  - Mammoth Room

Incentives  - Talus Room

 

12:30 pm – 2:00 pm

 

WFA Annual Luncheon sponsored by LSV Asset Management - Missouri Ballroom

Distinguished Speaker: John Y. Campbell, Harvard University

 

2:45 pm – 4:30 pm

 

Asset Pricing Estimation (in honor of Shmuel Kandel, 1951-2007)  - Amphitheatre

Mergers Acquisitions  - Lamar / Gibbon

Mortgages - Talus Room

Mutual Fund Flows  - Dunraven / Obsidian

Dynamic Models of the Firm  - Lake / Canyon

Entrepreneurship  - Mammoth Room

 

5:00 pm – 6:00 pm

 

SFS Annual Meeting - Lamar/Gibbon Room

 

6:00 pm – 9:00 pm

 

Society for Financial Studies Reception. Sponsored by Barclays Global Investors & J.P. Morgan - Huntley Dining Room

 

Thursday, June 28, 2007

 

7:00 am – 8:00 am

 

WFA  Breakfast – Huntley Dining Room

 

8:15 am – 10:00 am

 

Asset Pricing Theory II  - Amphitheatre

Private Equity  - Mammoth Room

Term Structure and the Macro Economy  - Lamar / Gibbon

SOX  - Talus Room