| 09h00 / 09h30 |  | |
Registration (Galerie Nord) |
| | | | |
| 09h30 / 10h00 | | |
Opening address (Room H307) |
| | | | |
| | | |
- Núria AGELL, Director Phd Program, ESADE |
| | | |
- Arnaud de BRESSON, Managing Director, Europlace Institute of Finance (EIF) |
| | | |
- Georges GALLAIS-HAMONNO, Chairman, Association Française de Finance (AFFI) |
| | | |
- Antoine HYAFIL, Dean for Faculty and Research, HEC School of Management |
| | | |
- Fulvio ORTU, Director of the PhD School, Universitá Luigi Bocconi |
| | | | |
| 10h00 / 11h00 | | |
Parallel sessions |
| | | | |
| | | |
Papers presentation - Session 1: Banking, Asset Pricing (Room H303) |
| | | |
- Competition, Concentration, and Bank Soundness: New Evidence from the Micro-Level (Klaus SCHAECK, University of Southampton, UK)
- Affine Equilibrim Asset Pricing Models with a Reference Level (Imen GHATTASSI, CREST, GREMAQ Université Toulouse I)
|
| | | | |
| | | |
Papers presentation - Session 2: Derivatives (Room H302) |
| | | |
- A Simple Two-Factor European Call Pricing (Hayette GATFAOUI, Université Paris I)
- Pricing Equity Swaps in an Economy with Jumps (Mia HINNERICH, Stockholm School of Economics)
|
| | | | |
| | | |
Papers presentation - Session 3: Investment (Room H011) |
| | | |
- Resource allocation when projects have ranges of increasing returns (Catherine BOBTCHEFF, Université Toulouse I)
|
| | | | |
| | | |
Papers presentation - Session 4: Risk Management Accounting (Room H010) |
| | | |
- ICAPM with time-varying risk aversion (Paulo MAIO, Universidade Nova de Lisboa)
- Application of full fair value accounting to french banks: a simulation exercise (Salma CHTOUROU, Université Paris Dauphine)
|
| | | | |
| | | |
Special Session - "The French Asset Management : A Dynamic and Innovative Industry, A Wide Range of Job Opportunities" by Dominique PIGNOT, Communications Director, Association Française de la Gestion Financière (AFG) and Bernard DESCREUX, Chief Investment Officer, SOGEPOSTE (Room H307) |
| | | | |
| 11h00 / 12h00 | | |
Parallel sessions |
| | | | |
| | | |
Papers presentation - Session 1: Corporate (Room H303) |
| | | |
- Syndication and Partial Exit in Venture Capital: A Signaling Approach (Florin DOROBANTU, Duke University)
|
| | | | |
| | | |
Papers presentation - Session 2: International Finance (Room H302) |
| | | |
- Herding Behavior towards the Market Index: Evidence from 21 Financial Markets (Daxue WANG, IESE Business School, Barcelona)
- Volatility and Expected Returns around the World (Samuel Xin LIANG, Hong Kong University of Science and Technology)
|
| | | | |
| | | |
Papers presentation - Session 3: Econometrics, Financial Mathematics (Room H011) |
| | | |
- Heterogeneous expectation and long range correlation of the valatility of asset returns (Jérôme COULON, Université Claude Bernard, Lyon I)
- Skewness Premium and Lévy process (José FAJARDO, Institute for Pure and Applied Mathematics - IMPA, Brazil)
|
| | | | |
| | | |
Papers presentation - Session 4: Accounting (Room H010) |
| | | |
- Goodwill impairment losses under SFAS 142: Role of executives incentives and corporate governance (Lale GULER, Texas A&M University)
- On Time and Balanced Scorecard (Stere MIHAI, Academy of Economic Studies, Bucharest)
|
| | | | |
| | | |
Special Session - AMF The French Regulator by Claire CASTANET, Deputy Head of Department Administration and Personnel, Autorités des Marchés financiers (AMF) (Room H307) |
| | | | |
| | | | |
| 12h00 / 14h00 | | |
Lunch co-hosted by Jean-Paul VERMES, Vice-Président, Chargé de l'Enseignement et de la Formation, Chambre de Commerce et d'Industrie de Paris (CCIP) and Jean-Michel LASRY, Senior Scientific Adviser, CALYON (Hall d'Honneur) |
| | | | |
| 14h00 / 15h00 | | |
Parallel sessions |
| | | | |
| | | |
Papers presentation - Session 1: Derivatives, Investment (Room H303) |
| | | |
- Using wavelets to approximate the risk-neutral moment generating function from options (Liya SHEN, University of Essex, UK)
- Gain de la diversification dynamique à travers les stratégies de Hedge Funds (Oussama LABIDI, Université Mendès France)
|
| | | | |
| | | |
Papers presentation - Session 2: International Finance, Risk Management (Room H302) |
| | | |
- Robust Portfolio choice with generalized preferences: Towards a private banking methodology (Michel VERLAINE, ENSAM Paris)
|
| | | | |
| | | |
Papers presentation - Session 3: Corporate (Room H011) |
| | | |
- On the Role of Institutional Investors in Corporate Governance: Evidence from Voting of Mutual Funds in Israel (Yaron AMZALEG, Ben-Gurion University, Israël)
- Optimal Investment under Credit Constraint (Bertrand DJEMBISSI, Université Toulouse I)
|
| | | | |
| | | |
Special Session - "Crédit Agricole Group & Calyon" by Jean-Michel LASRY, Senior Scientific Adviser, Calyon (Room H307) |
| | | | |
| 15h00 / 16h00 | | |
Parallel sessions |
| | | | |
| | | |
Papers presentation - Session 1: Derivatives, International Finance (Room H303) |
| | | |
- Temperature stochastic modelling and the pricing of weather derivatives (Mohammed MRAOUA, OCP Group Department of Finance, Marocco)
- Household participation in international markets : Emperical evidence from Italy (Luca DI GENNARO, University of Bologna)
|
| | | | |
| | | |
Papers presentation - Session 2: Econometrics (Room H302) |
| | | |
- Financial integration and Price discover in emerging markets:there emprical working papers (Angel LIAO, University of Wales, Bangor, UK)
- Switching VARMA Term Structures Models (Fulvio PEGORARO, Université Paris Dauphine)
|
| | | | |
| | | |
Papers presentation - Session 3: Corporate (Room H010) |
| | | |
- Insider Ownership, blockholders and performance of Swiss companies (Raul BARROSO, HEC Lausanne)
- Investments and Firm Characteristics (Stefan PLATIKANOV, University of Colorado at Boulder)
|
| | | | |
| | | |
Special Session - PricewaterhouseCoopers Luxembourg: " A Prime Location for doing Business..." (Room H307) |
| | | | |
| 16h00 / 16h15 | | |
Break (Galerie Nord) |
| | | | |
| 16h15 / 17h15 | | |
Parallel sessions |
| | | | |
| | | |
Papers presentation - Session 1: Derivatives, Corporate (Room H303) |
| | | |
- FX Option Pricing: Results from Black Scholes, Local Vol, Quasi q-phi and Stochastic q-phi Models (Krishnamurthy VAIDYANATHAN, CFA Institute, Charlottesville)
- Investment Banks as Information Providers in IPOs (Filippo PAVESI, Bocconi University)
|
| | | | |
| | | |
Papers presentation - Session 2: International Finance (Room H302) |
| | | |
- Is it possible to discriminate between structural change model and long memory process: Empirical evidence in the US inflation rate? (Lanouar CHARFEDDINE, ENS Cachan, Université Paris II Panthéon-Assas)
- How do foreign banks contribute to economic development? (Katharina STEINER, WU Wien)
|
| | | | |
| | | |
Papers presentation - Session 3: Micro Structure, Investment (Room H011) |
| | | |
- Mutual Funds, Career Concerns, and Trade Volume (Massimo SCOTTI, Bocconi University)
- Multiple forecasts and outranking (Nicolas HUCK, ENS Cachan)
|
| | | | |
| | | |
Special Session - "Jobs in Financial Research" by Chantal PITHOIS-LATAPIE, Training Director, Société Française des Analystes Financiers (SFAF) (Room H307) |
| | | | |
| | | | |
| 17h15 / 18h15 | | |
Plenary session (Room H307) |
| | |
The contribution of Research in Finance and Accounting for the Business World |
| | | | |
| | | |
Moderator: - Elyès JOUINI, Vice President, Université Paris Dauphine, Research Director, Institut Europlace de Finance (EIF) |
| | | |
- Carmen ANSOTEGUI, Professor, ESADE |
| | | |
- Peter CLARKE, Professor, University College Dublin |
| | | |
- Laurent POINSOT, Head of Equity Research, CA Chevreux |
| | | |
- Jean-Charles ROCHET, Professor, Université de Toulouse |
| | | |
- Jérôme TEILETCHE, Senior Quantitative Analyst, SGAM AI |
| | | | |
| 18h15 / 18h30 | | |
Clôture - Jean LAURENT, Chairman, Europlace Institute of Finance (EIF), Chairman of the Board, CALYON (Room H307) |
| | | | |
| 18h30 | | |
Closing cocktail (Galerie Nord) |
