3rd Mitsui Life Symposium on Global Financial Markets

Held jointly with The Fifth Annual Conference on Financial Economics and Accounting
University of Michigan Business School
Ann Arbor, Michigan
October 21, 1994

Session 1: International Finance
Rene Stulz, Moderator

Jesus Saa Requejo (University of Chicago)
Discussant: James Bodurtha (University of Michigan)

Exchange rate and term structure dynamics

The forward premium anomaly: three examples in search of a solution
Silverio Foresi (New York University)
Discussant: Andrew Karolyi (Ohio State University)

Firm performance, corporate governance, and top executive turnover in Japan
Jun-Koo Kang (University of Rhode Island) and Anil Shivdasani (Michigan State University)
Discussant: M.P. Narayanan (University of Michigan)

Session 2: Valuation and Accounting Earnings
S.P. Kothari, Moderator

Do prices behave as if accounting is conservative?: Cross-sectional evidence from the Feltham-Ohlson valuation model
Thomas L. Stober (Indiana University)

Earnings smoothing and equity value
Susan E. Moyer (University of Washington) and Terry Shevlin (University of Washington)

Earnings, adaptation, and equity value
David Burgstahler (University of Washington) and Ilia Dichev (University of Washington)
Discussant: Richard Sloan (University of Pennsylvania)

Session 3: Corporate Finance and Control
G. William Schwert, Moderator

Mark-up pricing in mergers and acquisitions
William Schwert (University of Rochester)
Discussant: Michael Bradley (University of Michigan)

Reversal of fortune: dividend policy and the disappearance of sustained earnings growth
Doug Skinner (University of Michigan), Harry DeAngelo (University of Southern California), and Linda DeAngelo (University of Southern California)
Discussant: Rene Stulz (Ohio State University)

The determination of the seniority structure of debt: theory and evidence
Sheng-Syan Chen (SUNY-Buffalo), Frank Jen (SUNY-Buffalo), and Dosoung Choi (SUNY-Buffalo)
Discussant: Gordon Phillips (Purdue University)

Session 4: Investor Behavior and Price Formation
Charles Lee, Moderator

Evidence that stock prices do not fully reflect the implications of current earnings for future earnings — an experimental approach
Michael Calegari (University of Arizona) and Neil Fargher (University of Oregon)

Market reactions to window dressing in the laboratory
Robert Bloomfield (Cornell University) and Robert Libby (Cornell University)

Asset allocation strategies of mutual fund managers
Ajay Khorana (Georgia Institute of Technology)
Discussant: William Cready (Texas A & M)

Perspectives on Testing Asset Pricing Models

October 22, 1994

Session 5: Explaining Returns on Stocks and Bonds
John McConnell, Moderator

Issues in evaluating the performand of value vesus glamour stocks
Louis K.C. Chan (University of Illinois), Narasimhan Jegadeesh, (University of Illinois) and Josef Laknishok (University of Illinois)
Discussant: Paul Seguin (University of Michigan)

On selection biases in book-to-market based tests of asset pricing models
Willam J. Breen (Northwestern University) and Robert A. Korajczyk (Northwestern University)
Discussant: John Binder (University of Illinois)

The 1920¹s boom, the great crash, and after
George Bittlingmayer (University of California-Davis)
Discussant: Mark Flannery (University of Florida)

Session 6: Shareholder Litigation
Katherine Schipper, Moderator

The effects of legal cost allocation rules and auditors reputations for settling on non-meritorious suits against auditors
C. Bryan Cloyd (University of Texas), James R. Frederickson (Indiana University), and John W. Hill (Indiana University)

Earnings management, voluntary disclosures and shareholder litigation
Sri S. Sridhar (Northwestern University) and John H. Evans (University of Pittsburgh)

Auditor litigation: research and database development
Zoe-Vanna Palmrose (University of Southern California)

Session 7: Market Microstructure
Chester Spatt, Moderator

In search of liquidity: block trades in the upstairs and downstairs markets
Minder Cheng (UC Berkeley) and Ananth Madhavan (University of Southern California)
Discussant: Duane Seppi (Carnegie-Mellon University)

Option trading and earnings news dissemination
Kaushik Amin (Lehman Brothers) and Charles Lee (University of Michigan)
Discussant: John O’Brien (Carnegie-Mellon University)

Information aggregation in a specialist market
Robert Bloomfield (Cornell University)

Session 8: Voluntary Financial Disclosure
Russell Lundholm, Moderator

Causes and consequences of changes in disclosure strategies
Paul M. Healy (MIT), Krishna G. Palepu (Harvard University) and Amy P. Sweeney (Harvard University)

Voluntary disclosure and reputation in capital markets
Mandira Roy Sankar (University of Southern California)

Discretion in financial reporting: the use of self-constructed peer groups in proxy statement performance groups
John Byrd (Hickman and Associates), Marilyn F. Johnson (University of Michigan), and Susan Porter (University of Texas)

Session 9: Strategic Positioning in Corporate Finance
David Hirshleifer, Moderator

Pricing strategies and financial policy
Sudipto Dasgupta (Hong Kong University of Science and Technology) and Sheridan Titman (Boston College)
Discussant: Elazar Berkovitch (University of Michigan)

Strategic competition in R&D and firm values
Anant K. Sundaram (University of Michigan), Teresa A. John (New York University), and Kose John (New York University)
Discussant: Kent Daniel (University of Chicago)

Capital structure and product market behavior: an examination of plant exit and investment decisions
Dan Kovenock (Purdue University) and Gordon Phillips (Purdue University)
Discussant: Timothy Opler (Ohio State University)

Session 10: Financial Statement Analysis
Jim Ohlson, Moderator

The contributions of earnings components to forecasts of future profitability
Patricia Fairfield (Georgetown University), Richard Sweeney (Georgetown University), and Teri Yohn (Georgetown University)

Financial statements analysis and analysts’ forecasts of earnings
Somnath Das  (University of California-Berkeley)
Discussant: Jim Ohlson (Columbia University)

Session 11: Options and Futures
Cheng-few Lee, Moderator

Options markets, self-fulfilling prophecies, and implied volatilities
Joseph A. Charian (Boston University) and Robert Jarrow (Cornell University)
Discussant: Catherine Shalen (Chicago Mercantile Exchange)

Pricing the risks of default
Dilip B. Madan (University of Maryland) and Haluk Unal (University of Maryland)
Discussant: Peter Ritchken (Case Western Reserve University)

Implied covariance in PHLX deutschemark and yen option values
James N. Bodurtha (University of Michigan) and Qi Shen (University of Michigan)
Discussant: Narasimhan Jegadeesh (University of Illinois  Champaign-Urbana)

Sesson 12: Financial Accounting
Joshua Ronen, Moderator

Postannouncement drift in rational expectations models
Alex Dontoh (New York University), Joshua Ronen (New York University), and Bharat Sarath (New York University)
Discussant: Hal Varian (University of Michigan)

Accounting choices and the information environment: theory and evidence
Eli Bartov (New York University) and Gordon Bodnar (University of Pennsylvania)
Discussant: Steve Huddart (University of Michigan)