Sixth Finance Down Under Conference, 2010

Speakers and Papers

 

Key Note Address

• Stephen LeRoy (UC Santa Barbara)
  Mortgage Default and Mortgage Valuation - PDF (568 KB)
  

Morning A - Investing for the Long Term: Money Management

• Russ Wermers (University of Maryland) and Tong Yao (University of Iowa)
  Active vs. Passive Investing and the Efficiency of Individual Stock Prices - PDF (221 KB)
• Mitch Warachka (Singapore Management University) and Da Zhi (University of Notre Dame)
  The Disparity Between Long-Term and Short-Term Forecasted Earnings Growth - PDF (257 KB)
• Michael Brennan (UCLA and Manchester Business School), Tarun Chordia (Emory University), Avanidhar Subrahmanyam (UCLA) and Qing Tong (Emory University)
  Sell-SideLiquidity and the Cross-Section of Expected Stock Returns - PDF (664 KB)

Morning B - Investing for the Long Term: Credit Risk, Longevity Risk & Risk Aversion

• Adam Ashcraft (Federal Reserve Bank of New York), Paul Goldsmith-Pinkham (Harvard Business School) and James Vickery (Federal Reserve Bank of New York)
  MBS Ratings and the Mortgage Credit Boom - PDF (483 KB)
• Joachim Inkmann (University of Melbourne), Paula Lopes (London School of Economics), Alexander Michaelides (Bank of Cyprus and London School of Economics)
  How Deep is the Annuity Market Participation Puzzle? - PDF (2.37 MB)
• James Huang (Lancaster University) and Richard Stapleton (Manchester University and University of Melbourne)
  Cautiousness and Demand for Options - PDF (263 KB)

Lunch Address

• Pasi Hamalainen (Former Managing Director and Head Risk Oversight, PIMCO Global)
  Global Fixed Income Markets: A Portfolio Manager's Perspective

Afternoon A - The Determinants of Corporate Decisions: Segmentation, Incentives and Uncertainty

• Sergey Chernenko (Harvard Business School) and Adi Sunderam (Harvard Business School)
  The Real Consequences of Market Segmentation - PDF (665 KB)
• Eliezer Fich (Drexel University), Jie Cai (Drexel University) and Anh L Tran (Drexel University)
  Stock Option Grants to Target CEOs During Private Merger Negotiations - PDF (203 KB)
• Brandon Julio (London Business School) and Youngsuk Yook (Sungkyunkwan University)
  Political Uncertainty and Corporate Investment Cycles - PDF (158 KB)

Afternoon B - The Determinants of Market Prices: Information, Structure and Sentiment

• Jeremy Berkowitz (University of Houston), Praveen Kumar (University of Houston) and Nisan Langberg (University of Houston)
  Price Discovery and Dynamic Information Revelation in the Financial Crisis of 2008 - PDF (426 KB)
• Bruce Grundy (University of Melbourne), Bryan Lim (University of Melbourne) and Patrick Verwijmeren (University of Melbourne)
  Do Option Markets Undo Restrictions on Short Sales? Evidence from the 2008 Short-Sale Ban - PDF (624 KB)
• Haim Levy (Hebrew University of Jerusalem)
  Volatility Risk Premium, Market Sentiment and Market Anomalies - PDF (664 KB)

Key Note Address

• Maureen O'Hara (Cornell University)
  Liquity and Valuation in an Uncertain World - PDF (155 KB)
  Download the full Conference Programme - PDF (73 KB)