Saturday September 20th Block 1:  8h30 - 10h00 am   Session 1: Pension Plan Chair: Wulin Suo, Queen's University Room: 410 Phelim Boyle (University of Waterloo), Raman Uppal (London Business School)  and Tan Wang (University of British Columbia) “Ambiguity Aversion and the Puzzle of Own-Company Stock in Pension Plans” Discussant : Wulin Suo (Queen's University) Issouf Soumaré (University of British Columbia) and Ron Giammarino (University of British Columbia) “Incentives and Voluntary Investment in Employer Shares” Discussant : Jean-Pierre Château (Rouen School of Management) David Hobson Myers (Lehigh University) “The Reaction of Asset Flows to Performance in Pension Account Returns” Discussant : Phelim Boyle (University of Waterloo)   Session 2: Regime Switching Chair: Robert Elliott, University of Calgary Room: 414 Larry Bauer  (Memorial University of Newfoundland) “Regime Dependent Conditional Volatility in the U.S. Equity Market” Ø      Discussant : Toby  Daglish (University of Iowa) Daniel Smith (Simon Fraser University) “Structural Breaks in GARCH Models” Ø       Discussant : Ingrid Lo (University of Western Ontario) Laurent Calvet (Harvard University) and Adlai Fisher (University of British Columbia) “Regime-Switching and the Estimation of Multifractal Processes” Ø       Discussant : Stephen Foerster (University of Western Ontario)   Session 3 : Derivatives I Chair: Kenneth R. Vetzal, University of Waterloo Room: 415 Yun Li (University of Toronto) “Treasury Yields, Equity Returns, and Credit Spread Dynamics” Ø       Discussant : Nadia Ouertani (HEC Montréal) Nabil Tahani (HEC Montréal) “Valuing Credit Derivatives Using Gaussian Quadrature : a Stochastic Volatility Framework” Ø       Discussant : Xiaofei Li (McGill University) Kris Jacobs (McGill University) and Xiaofei Li (McGill University)  “Modeling the Dynamics of Credit Spreads With Stochastic Volatility” Ø       Discussant : Yunbi An (Queen's University)   Session 4: Asset Pricing I Chair: Wayne Ferson, Boston College Room: 418 Giovanni Barone-Adesi (Universita' della Svizzera Italiana), Patrick Gagliardini (Universita' della Svizzera Italiana) and Giovanni Urga (City University Business School, London) “Homogeneity Hypothesis in the Context of Asset Pricing Models. The Quadratic Market Model” Ø       Discussant : Amir Barnea  (University of British Columbia) Raymond Kan (University of Toronto) and Guofu Zhou (Washington University in St. Louis) “Modelling Non-Normality Using Multivariate t: Implications for Asset Pricing” Ø       Discussant : Anna Dodonova (University of Iowa) Douglas S. Rolph (University of Washington) “Co-Skewness, Firm-Level Equity Returns and Financial Leverage” Ø       Discussant : Craig Wilson (University of Saskatchewan)   Session 5 : International Finance Chair: Dev Mishra, Memorial University Room  : Cullen Harjoat S. Bhamra  (London Business School) “International Stock Market Integration: a Dynamic General Equilibrium Approach” Ø       Discussant : Francesca Carrieri (McGill University) Narjess Boubakri (Université Laval), Jean-Claude Cosset (Université Laval),   Omrane Guedhami (Memorial University of Newfoundland) and Mohammed Omran (Université Laval) "Foreign Investor Participation in Privatizations : Does the Institutional Environment Matter?” Ø       Discussant : Usha Mittoo (University of Manitoba)          Francesca Carrieri (McGill University), Vihang Errunza (McGill University) and  Basma Majerbi (McGill University) “Global Price of Foreign Exchange Risk” Ø       Discussant : Jean-Claude Cosset (Université Laval)   Session 6: Special Topics I Chair: Lawrence Kryzanowski, Concordia University Room  : 422 Murray Carlson (University of British Columbia),  Adlai Fisher (University of British Columbia) and  Ron Giammarino (University of British Columbia) “Corporate Investment and Asset Price Dynamics: Implications for the Cross Section of Returns”  Discussant : Hua Zhang (York University) Nadia Massoud (University of Alberta), Anthony Saunders (New York University) and Barry Scholnick (University of Alberta) “The Impact of ATM Surcharges on Larger Versus Smaller Banks: Is There a Customer Relationship Effect?” Ø       Discussant : Tom Cottrell (University of Calgary) Varouj Aivazian (University of Toronto) and Eric Santor (Bank of Canada) “Financial Development, Financial Constraints and Firm Investment: Cross-Country Evidence” Ø       Discussant : Robert Joliet (Université de Liège)   Session 7: Option Pricing Under Market Imperfection Chair: Jean-Guy Simonato, HEC Montréal Room  : Morrice-Lisner Peter Christoffersen (McGill University) Steve Heston (University of Maryland) and Kris Jacobs (McGill University) “Option Valuation With Conditional Skewness” Ø       Discussant : Xin Li (Simon Fraser University) Roland Nilsson (Stockholm School of Economics) “The Effects of Short Sale Constraints on Derivative Prices” Ø       Discussant : Carlton James Osakwe (University of Calgary)   10h00- 10h30 am : Coffee Break   Saturday September 20th Block II : 10h30 - 12h00 pm    Session 8 : Debt Issue Chair: Vijay Jog, Carleton University Room  : 508 Pascal François (HEC Montréal) “Renegotiations on Sovereign Debt: Reduce or Reschedule?” Ø       Discussant :  Yuri Khoroshilov (University of Michigan) Van Son Lai (Université Laval), Michel Gendron (Université Laval) and Issouf Soumaré (University of British Columbia) “The Effects of Maturity Choices on Loan Guarantee Portfolios” Ø       Discussant : George Hübner (University de Liège) Jean-Pierre Château (Rouen School of Management) and Jian Wu (Rouen School of Management)              “Basle II Capital Adequacy : Computing the "Fair" Capital Charge for Loan Commitment "True" Credit Risk” Ø       Discussant : Colette Southam (University of Western Ontario)   Session 9: Special Topics II Chair: Giovanni Barone-Adesi, Universita' della Svizzera Italiana Room : Cullen Michel Normandin (HEC Montréal) “Current Account and World Interest Rate” Ø       Discussant : Ruoyun Zhao (University of Toronto) Mark Cassano (University of Calgary) and Bing Han (University of Calgary) “Option Volume Signals for Foreign Exchange” Ø       Discussant : Lawrence Kryzanowski (Concordia University) George W. Blazenko (Simon Fraser University) and  Andrey Pavlov (Simon Fraser University) “The Economics of Maintenance for Real Estate Investments” Ø       Discussant : David Hobson Myers (Lehigh University)   Session 10: Payout Policies Chair: Susan E. K. Christoffersen, McGill University Room  : 410 Nalinaksha Bhattacharyya (University of Manitoba), Amin Mawani (York University) and Cameron Morrill (University of Manitoba) “Dividend Payout and Executive Compensation: Theory and evidence” Ø       Discussant : Kai Li (University of British Columbia) Sébastien Dereeper (Université d'Artois) and Frédéric Romon (Université de Valenciennes) “The Use of Open-Market Repurchase Programs in France” Ø       Discussant : Véronique Bastin (Université de Liège) David A. Chapman (University of Texas at Austin), Timothy Simin (Pennsylvania State University) and Hong Yan (University of Texas at Austin) “Stock Returns and Dividend Yields: Some New Evidence” Ø       Discussant : Sergiy Rakhmayil (University of Calgary)   Session 11: Risk management Chair: Nadia Massoud, University of Alberta Room  : 414 Peter MacKay (Southern Methodist University) and Sara Moeller (Southern Methodist University) "The Value of Corporate Risk Management” Ø       Discussant :Gilles Bernier (Université Laval) Marko Savor (Université du Québec à Montréal) “Risk Management and Abnormal Returns for Bidding Firms in the Gold Mining Industry” Ø       Alexandra Lai (Bank of Canada) Georges Dionne (HEC Montréal) and Thouraya Triki (HEC Montréal) “Financial Theory On Risk Management Determinants : What Does Really Work?” Ø       Discussant : Marcelo Braga dos Santos (McGill University)   Session 12: Capital Structure I Chair: Nathalie Moyen, University of Colorado at Boulder Room : 415 Carmen Aranda Léon (University of Navarra), Andrea Gamba (University of Verona) and  Gordon Sick (University of Calgary) “Real Options, Capital Structure, and Taxes” Ø       Discussant : Amir Rubin (Simon Fraser University) Alan V.S. Douglas (University of Waterloo) “Capital Structure, Compensation Contracts and Managerial Incentives” Ø       Discussant : Nathalie Moyen (University of Colorado at Boulder) Hernan Ortiz Molina (University of Maryland) "Does Capital Structure Matter in Setting CEO Pay?” Ø       Discussant : Dev Mishra (Memorial University of Newfoundland)   Session 13: Stochastic Discount Factors Chair: Raymond Kan, University of Toronto Room  : 418 Wayne Ferson (Boston College), Darren Kisgen (University of Washington) and Tyler Henry (University of Washington) “Evaluating Fixed Income Fund Performance with Stochastic Discount Factors” Ø       Discussant : Raymond Kan (University of Toronto) Stéphane Chrétien (University of Alberta) “Bounds on the Autocorrelation of Admissible Stochastic Discount Factors” Ø       Discussant : Kevin Wang (University of Toronto) Sophie Shive (University of Michigan) “On the Shape of the Option-Implied Stochastic Discount Factor” Ø       Discussant : Pierre Ruiz (McGill University)   Session 14: Financial Institutions Chair: Ronald Giammarino, University of British Columbia Room : 422 Klaus Fischer (Université Laval) and Martin Desrocher (Université Laval) “Governance and Growth in Financial Cooperatives: Merger vs. Networks” Ø       Discussant : Stephen Alford (University of Manitoba) Donald Fraser (Texas A&M University), Gregory Hebb (Dalhousie University) Greg MacKinnon (Saint Mary's University) “Lending and Underwriting: Evidence on Tying Behavior by Banks” Ø       Discussant : Ranjini Sivakumar (University of Waterloo) Fréderic Lobez (Université de Lille 2) and Jean-Christophe Statnik (Université de Lille 2) “The Informative Contents Of Bank Debt Concentration” Ø       Discussant : Sean Finucane (University of British Columbia)   Session 15 : Empirical Studies of Canadian Capital Markets I :  Equity Valuation (Bank of Canada I) Chair: Michael R. King Bank of Canada Room  : Morrice-Lisner Stephen R Foerster (University of Western Ontario) and Brian C. Y. Huen (University of Western Ontario) “Does Corporate Governance Matter to Canadian Investors” Ø       Discussant : Peter Klein (Simon Fraser University) Vijay Jog (Carleton University) and Bruce J. McConomy (Wilfrid Laurier University) “Analysts' Coverage and Long-term Performance of Initial Public Offerings” Ø       Discussant : Alexandra MacKay (University of Toronto) Carlton-James U. Osakwe (University of Calgary) “The Nature of Canadian Betas” Ø       Discussant: Greg Bauer (Bank of Canada)   12h00 – 1h00 p.m. : Buffet Luncheon 13h00 – 14h00: Kryzanowski/Barone-Adesi Lecture: Alan Kraus (University of British Columbia)   Saturday September 20th Block III : 2h00 - 4h00 p.m.   Session 16: Financial Accounting and Agency Problems Chair: Phelim Boyle, University of Waterloo Room  : 508 Peter Klein (Simon Fraser University), Daniel Shapiro (Simon Fraser University) and Jeff Young (Simon Fraser University) “Corporate Governance, Family Ownership and Firm Value:  the Canadian Evidence” Ø    Discussant : Klaus Fischer (Université Laval) Carla Carnaghan (University of Waterloo) and Ranjini Sivakumar (University of Waterloo) “Managerial and Market Responses to Regulation Fair Disclosure: the Case of Management Forecasts” Ø       Discussant : Daniel Coulombe (Université Laval) Andrew S. Hilton (University of Alberta) “The Role of Regulation and Enforcement in Securities Market Interpretation of Accounting Information” Ø       Discussant : Adair Morse (University of Michigan) Stephen C. Alford (University of Manitoba) “The Effect of Personal Income Tax on Corporate Agency Costs” Ø       Discussant : Suzanne Paquette (Université Laval)   Session 17: Performance Chair: Stéphane Chrétien, University of Alberta Room : 410 Mohamed A. Ayadi (Brock University) and Lawrence Kryzanowski (Concordia University) “Linear performance measurement models and fund characteristics” Ø       Discussant : Richard Johnson (Federal Reserve Bank of Kansas City) Kevin Q. Wang (University of Toronto) “Multifactor Evaluation of Style Rotation” Ø       Discussant : Issouf Soumaré (University of British Columbia) Robert R Grauer (Simon Fraser University) “Timing the Market with Stocks, Bonds, and Bills” Ø       Discussant : Robert Chen (University of Toronto) Dale L. Domian (University of Saskatchewan), Marie D. Racine (University of Saskatchewan) and Craig A. Wilson (University of Saskatchewan) “Leveraged Stock Portfolios over Long Holding Periods: a Continuous Time Model” Ø       Discussant : Sophie Shive (University of Michigan)   Session 18: Market Microstructure Chair: Peter MacKay, Southern Methodist University Room : 414 Joseph Golec (University of Connecticut) “An Analysis of a Large Institutional Investor’s “Informed” Trades and Trading Strategies” Ø     Discussant : Mark Cassano (University of Calgary) David Jackson (Carleton University) “Inferring Trader Behavior from Transaction Data: a Simple Model” Ø      Discussant : Michael Schill (University of Virginia) Gady Jacoby (University of Manitoba) and Chuan Liao (University of Manitoba) “Investor Sentiment and the Security Price Adjustment” Ø       Discussant : Dennis Lu (Competition Bureau Industry Canada)   Session 19: CEO Compensation I Chair: Murray Carlson, University of British Columbia Room : 415 Jarrad Harford (University of Washington) and Kai Li (University of British Columbia) “Corporate Takeovers and CEO Compensation” Ø       Discussant : Eric Santor (Bank of Canada) Stephen Sapp (University of Western Ontario) and Colette Southam (University of Western Ontario) “Comparing ‘Apples with Apples’: a Canada - U.S.A. Comparison of CEO Compensation” Ø       Discussant : Mathijs van Dijk (Erasmus University Rotterdam) Kiridaran Kanagaretnam (McMaster University), Robert Mathieu (Wilfrid Laurier University) and  Ramachandran Ramanan (Notre-Dame University) “Outside Director Remuneration and the Decision to Grant CEO Stock Options” Ø       Discussant : Hernan Ortiz Molina (University of Maryland)   Session 20: Market Microstructure Trading Features Chair: Alexandra MacKay, University of Toronto Room  : Cullen Hui Huang (University of Western Ontario) "Risk Aversion, Strategic Trading and Mandatory Public Disclosure” Ø       Discussant : Mark Kamstra (Atlanta Federal Reserve Bank) Ebenezer Asem (University of Lethbridge) "Microstructural Effects of Extending Trading Time” Ø       Discussant : Madhu Kalimipalli (Wilfrid Laurier University) Jinliang Li (Northeastern University) and Wei Zhang (State University of New York-Fredonia) “Aggregate Liquidity, Trading Activity, and Market Returns” Ø       Discussant : Jean-Christophe Statnik (Université de Lille 2) Ingrid Lo (University of Western Ontario) and Stephen Sapp (University of Western Ontario) “Order Submission: the Choice Between Limit and Market Order” Ø       Discussant: Wei Zhang  (State University of New York-Fredonia)   Session 21: Corporate Finance Chair: Stephen Foerster, University of Western Ontario Room  : 418 Chris J. Leach (University of Colorado at Boulder ), Nathalie Moyen (University of Colorado at Boulder) and Jing Yang (Bank of Canada) “Deterring Entry with Debt and Capacity” Ø       Discussant : Dima Leshchinskii (HEC France) François Derrien (University of Toronto) “IPO pricing in “hot” market conditions: who leaves money on the table?” Ø       Discussant : Jun Yang (Queen's University) Amir Rubin (Simon Fraser University) “What do Shareholders Really Want? Incentive Contracts and Debt Policy When Investors are Diversified” Ø      Discussant : François Derrien (University of Toronto) Moez Bennouri (HEC Montréal) and Sonia Falconieri (Tilburg University) “Price Versus Quantity Discrimination in Optimal IPOs” Ø       Discussant : Erik Lüders (Université Laval)   Session 22: Market Listing Chair: Peter Christoffersen, McGill University Room : 422 Vijay Jog (Carleton University) and Tsuyoshi Okumura (Carleton University) “Market Reaction to Inclusions and Exclusions in Toronto Stock Exchange 300 Index” Ø       Discussant : Kenneth R Vetzal (University of Waterloo) John R. Becker Blease (University of New Hampshire) and Donna Paul (Babson College) “Does Index Inclusion Improve Firm Visibility and Transparency?” Ø       Discussant : Michael R. King (Bank of Canada) Sean Finucane (University of British Columbia) “Distilling the Information in S&P500 Delistings” Ø       Discussant : Lisa Kramer (University of Toronto) Ruoyun Zhao (University of Toronto) “S&P Index Change, New Information and Bond Yield” Ø       Discussant : Bruce McConomy (Wilfrid Laurier University)   Session 23: Time Varying Volatility Chair: Toby Daglish, University of Iowa Room : Morrice-Lisner Julia Litvinova (Duke University) “Volatility Asymmetry in High Frequency Data” Ø       Discussant : Robert Elliot (University of Calgary) Toby Daglish  (University of Iowa), John Maheu (University of Alberta) and Tom McCurdy (University of Toronto) “Computing Financial Gains From Modelling Time Varying Volatility” Ø       Discussant : Christophe Pérignon (Simon Fraser University) Christophe Pérignon (Simon Fraser University ) and Christophe Villa (Université de Rennes 1) “Sources of Time Variation in the Covariance Matrix of Interest Rates” Ø       Discussant : Tony Berrada (HEC Montréal) Robert J. Elliott (University of Calgary) and Craig Wilson (University of Saskatchewan) "The Term Structure of Interest Rates in a Markov Setting” Ø       Discussant : Daniel Smith (Simon Fraser University)   5h30pm : Cocktail 6:30 pm : Dinner Reception   Sunday September 21rst 8h30 am  - 10h00 am : Block V   Session 24: Corporate Debt Valuation Chair: Kai Li, University of British Columbia Room : 410 Jean-Guy Simonato (HEC Montréal), Jin-Chuan Duan (University of Toronto),  Geneviève Gauthier (HEC Montréal) and Sophia Zaanoun (HEC Montréal) “Estimating Structural Credit  Risk Models with Consideration of Survivorship” Ø       Discussant : Sean Finucane (University of British Columbia) Xin Li (Simon Fraser University) “Valuing Defaultable Securities under Interest Rate and Default Risk Correlation” Ø       Discussant : Pascal François (HEC Montréal)   Session 25: Capital Acquisition Chair: Peter Klein, Simon Fraser University Room  : 508 Lawrence M. Benveniste (University of Minnesota),  Huijing Fu (University of Minnesota),   Xiaoyun Yu (University of Minnesota) and Paul J. Seguin (University of Minnesota) “On the Anticipation of IPO Underpricing : Evidence From Equity Carve-Outs” Ø       Discussant : Moez Bennouri (HEC Montréal) Dima Leshchinskii (HEC France) “Indulgent Angels or Stingy Venture capitalists?--- The Entrepreneurs’ Choice” Ø       Discussant : Greg Hebb (Dalhousie University)   Session 26: Credit Rating Chair: Robert R. Grauer, Simon Fraser University Room  : 414 Richard Johnson (Federal Reserve Bank of Kansas City) “An Examination of Rating Agencies’ Actions Around The Investment-Grade Boundary” Ø       Discussant : Yun Li (University of Toronto) Yu Du (Queen's University) “Predicting Credit Rating and Credit Rating Changes: a New Approach” Ø       Discussant : Georges Dionne (HEC Montréal) Lynnette D. Purda (Queen's University) “Consistency of Global Credit Ratings: an Analysis of Firm versus Country-Specific Factors” Ø       Discussant : Douglas Rolph (University of Washington)   Session 27: Empirical Studies of Canadian Capital Markets II: Cross Borders Effects  (Bank of Canada II) Chair: Scott Hendry, Bank of Canada Room  : 415 Usha Mittoo (University of Manitoba) “Globalization and the Value of U.S. Listing: Revisiting Canadian Evidence” Ø       Discussant : Eric Santor (Bank of Canada) Susan E.K. Christoffersen (McGill University),  Chris C. Geczy (University of Pennsylvania), David K. Musto (University of Pennsylvania) and Adam V. Reed (University of North Carolina) “The Limits of Dividend Arbitrage: Implications for Cross-Border Investment” Ø     Discussant : Larry Bauer (Memorial University of Newfoundland) Michael R. King (Bank of Canada) and Dan Segal (University of Toronto) “Corporate Governance, International Cross Listing and Home Bias” Ø     Discussant : Timothy T. Simin (Pennsylvania State University)   Session 28: Emerging Markets Chair: Jean-Claude Cosset, Université Laval Room  : Cullen Juan J Cruces (Universidad de San Andres) “A Model of Unexpected Returns in Emerging Countries” Ø    Discussant : Harjoat Bhamra (London Business School) Robert Joliet (Université de Liège) and Georges Hübner (Université de Liège) “Firm Internationalization and Systematic Risk : a Multidimensional Approach” Ø       Discussant : Basma Majerbi (McGill University) Dev R. Mishra (Memorial University of Newfoundland) “Investability and Foreign Exchange Exposure of Emerging Market Firms” Ø       Discussant : Marko Savor (Université du Québec à Montréal)   Session 29: Asset Pricing II Chair: Alexandra MacKay, University of Toronto Room : 418 Robert Chen (University of Toronto) and Raymond Kan (University of Toronto) “Finite Sample Distribution of Two-Pass Tests of Asset Pricing Models” Ø       Discussant : Lynda Khalaf (Université Laval) Erik Lüders (Université Laval) “The Pricing Kernel and Time-Series Characteristics of Asset Returns” Ø       Discussant : Murray Carlson (University of British Columbia) Jun Yang (Queen's University) and Edwin H. Neave (Queen's University) “Semiparametric Estimation of Asset Pricing Kernel from Time-Series and Cross-Section Data” Ø       Discussant : Peter Christoffersen (McGill University)   Session 30: Behavioural Finance Chair: Georges Hübner, Université de Liège Room  : 422 Ian Garrett (University of Manchester),   Mark J. Kamstra (Atlanta Federal Reserve Bank) and Lisa Kramer (University of Toronto) “A SAD Day for Behavioral Finance? Winter Blues and Time Variation in the Price of Risk” Ø       Discussant : Patrick Kelly (Arizona State University)             Patrick Kelly (Arizona State University) and J. Felix Meschke (Arizona State University) “Economically-Neutral Events and Investor Sentiment” Ø       Discussant : Michel Normandin (HEC Montréal) Mark J. Kamstra (Atlanta Federal Reserve Bank), Lisa A. Kramer (University of Toronto) and Maurice D. Levi (University of British Columbia) “SAD Investors: Implications of Seasonal Variations in Risk Aversion” Ø       Discussant : Nalinaksha Bhattacharyya (University of Manitoba)   Session 31: Interlisting Chair: Daniel Smith, Simon Fraser University Room  : Morrice-Lisner Abe de Jong (Erasmus University Rotterdam), Leonard Rosenthal (Benkley College) and Mathijs A. van Dijk (Erasmus University Rotterdam) “The Limits of Arbitrage: Evidence from Dual-Listed Companies” Ø       Discussant : Vijay Jog (Carleton University) Franck Bancel (ESCP-EAP), Madhu Kalimipalli (Wilfrid Laurier University) and Usha Mittoo (University of Manitoba) “Long-Run Performance of European Listings in the U.S.” Ø       Discussant : Charles Gaa (University of British Columbia) Sergei Sarkissian (McGill University) and Michael Schill (University of Virginia) “The Cost of Capital Effects of Overseas Listings: Market Sequencing and Selection” Ø       Discussant : Stéphane Chrétien (University of Alberta)   10h00- 10h30 am : Coffee Break   Sunday September 21rst Block V: 10h30 am - 12h00 pm   Session 32: Derivatives II Chair: Mark Kamstra, Atlanta Federal Reserve Bank Room  : 410 H. Windcliff (University of Waterloo), P.A. Forsythy (University of Waterloo) and Kenneth R Vetzal (University of Waterloo) “Pricing Methods and Hedging Strategies for Volatility Derivatives” Ø       Discussant : Greg MacKinnon (Saint Mary's University) Yuri Khoroshilov (University of Michigan) “Optimal Incentive Contracts for Loss-Averse Managers: Stock Options vs. Restricted Stock Grants” Ø       Discussant : George W. Blazenko (Simon Fraser University) Diana Ribeiro (University of Warwick) and Stewart Hodges (University of Warwick) “Price Dynamics for Continuously Produced Storable Commodities: Competitive and Monopolistic Markets” Ø       Discussant : Kiridaran Kanagaretnam (McMaster University)   Session 33: Special Topics III Chair: Larry Bauer, Memorial University of Newfoundland Room  : 508 Véronique Bastin (Université de Liège) "The Reaction of Biotechnology Stocks to the Clinton-Blair Statement on Human Genome Patenting : an Event Study Approach.” Ø       Discussant : Frédéric Romon (Université de Valenciennes) Sergiy Rakhmayil (University of Manitoba) and Charles Mossman (University of Manitoba) “The Influence of Economic Risk Factors on the Size and January Anomalies: an Empirical Analysis” Ø       Discussant : Yu Du (Queen's University) Adair Morse (University of Michigan) and Sophie Shive (University of Michigan) “Patriotism in Your Portfolio” Ø      Discussant : Lynette Purda (Queen's University)   Session 34: Corporate Diversification Chair: Alan V.S. Douglas, University of Waterloo Room  : 414 Amir Barnea (University of British Columbia), Robert Heinkel (University of British Columbia) and Alan Kraus (University of British Columbia)       “Green Investors and Corporate Investment” Ø       Discussant : Alan Douglas (University of Waterloo) Marcelo Braga dos Santos (McGill University), Vihang Errunza (McGill University) and Darius Miller ( Indiana University) “Does Corporate International Diversification Destroy Value? Evidence from Cross-Border Mergers and Acquisitions” Ø       Discussant : Peter MacKay (Southern Methodist University)   Session 35: Portfolio Management Chair: Robert Grauer (Simon Fraser University) Room  : 415 Kaïs Dachraoui (Statistics Canada) and Georges Dionne (HEC Montréal) “Hedging and Risk Premium Components in Optimal Financial Portfolios: A Qualitative Decomposition” Ø       Discussant : Giovanni Barone-Adesi (Universita' della Svizzera Italiana) Georges Hübner (Université de Liège and Maastricht University) “The Generalized Treynor Ratio: a Note” Ø       Discussant : Wayne Ferson (Boston College) Anna Dodonova (University of Iowa) “Multiple Benchmarks and Portfolio Allocation: why Investors do not Diversify Enough” Ø       Discussant : Robert Grauer (Simon Fraser University)   Session 36: Exotic Option and Implied Valuation Chair: Pascal François, HEC Montréal Room  : Cullen Nadia Ouertani (HEC Montréal) ”Basket Options on Heterogeneous Underlying Assets” Ø       Discussant : Chuan Liao (University of Manitoba) An Yunbi (Queen's University) and Wulin Suo (Queen's University) “The Performance of Option Pricing Models on Hedging Exotic Options” Ø       Discussant : Joseph Golec (University of Connecticut)   Session 37: Banking Issues Chair: Klaus Fischer, Université Laval Room  : 418 Li Hao (York University) “Bank Effects and the Determinants of Loan Yield Spreads” Ø       Discussant : Hui Huang (University of Western Ontario) Chris D'Souza (Bank of Canada) and Alexandra Lai (Bank of Canada) “The Effects of Bank Consolidation on Risk Capital Allocation and Market Liquidity” Ø       Discussant : Jean-François Guimond (Université Laval) Hua Zhang (York University)       "Reputation and monitoring  ability in loan syndications” Ø       Discussant : Stephen Sapp (University of Western Ontario)   Session 38: Canadian Bond Markets Chair: Ebenezer Asem, University of Lethbridge Room  : 422 Chris D’Souza (Bank of Canada) Charles Gaa (University of British Columbia) and Jing Yang (Bank of Canada) “Measuring Liquidity in the Interdealer Government of Canada Bond Market” Ø       Discussant : Ebenezer Asem (University of Lethbridge) Dennis Lu (Competition Bureau Industry) and Jing Yang (Bank of Canada) “Auction Participation and Market Uncertainty: Evidence from Canadian Treasury Auctions” Ø       Discussant : John R. Becker-Blease (University of New-Hampshire) Alexandra MacKay (University of Toronto) “Evaluation of the Bond Buyback Program” Ø       Discussant : Paul J. Seguin (University of Minnesota)