7th Mitsui Life Symposium on Global Financial Markets

Joint Symposium of the
11th Annual Financial Economics and Accounting Conference
and the 7th Mitsui Life Symposium on Global Financial Markets

University of Michigan Business School
Ann Arbor, Michigan USA
November 3-4, 2000

“Analysts’ Earnings Forecasts”

Chair: Siva Nathan, Emory University
Discussant: Steven Brown, Emory University

  1. “How Important is Past Forecast Accuracy for Predicting Future Forecast Accuracy?” by L. Brown
  2. “Firm Size and Analysts’ Forecasts” by O. Barron, D. Byard, and O. Kim
  3. “Delayed Security Price Adjustments to Analysts’ Forecasts” by P. Elgers, M. Lo, and R. Pfeiffer

“International Institutions and Accounting”

Chair: Peter Wysocki, University of Michigan
Discussant: Sudipta Basu, CUNY- Baruch

  1. “The Role of Self-Regulation in Corporate Governance:Evidence from the Netherlands” by A. de Jong, D. DeJong, G. Mertens, and C. Wasley
  2. “The Influence of Accounting and Environmental Variables on Analysts’ Forecasts: An International Study” by O. Hope
  3. “Earnings Management Around the World” by C. Leuz, D. Nanda and P. Wysocki


“Raising and Using Money”

Chair: E. Han Kim
Discussants: David Brophy, University of Michigan; Kai-Uwe Kuhn, University of Michigan; Anup Agrawal, University of Alabama

  1. “Roll-ups: Performance and Incentives for Industry-Consolidating IPOs” by K. Brown, A. Dittmar, H. Servaes, and K. Wiles
  2. “Busted IPOs and Windows of Misopportunity” by L. Foster-Johnson, C. Lewis, and James K. Seward
  3. “Growth through Multiple Acquisitions of Private and Public Targets: Evidence from Bidder Returns in the 90s” by K. Fuller, J. Netter, M. Stegemoller, and R. Voeks


Chair: Vikram Nanda, University of Michigan
Discussants: Sugato Chakravarty, Purdue; Raj Singh, University of Minnesota; R. Pat Fishe, University of Miami

  1. “Liquidity beyond the Inside Spread: Measuring and Using Information in the Limit Order Book” by P. Irvine, G. Benston, and E. Kandel
  2. “A Century of Stock Market Liquidity and Trading Costs” by C. Jones
  3. “Day Trading International Mutual Funds: Evidence and Policy Solutions” by W. Goetzmann, Z. Ivkovic, and K. Rouwenhorst

“Risk, Disclosure and Valuation”

Chair: Darren Roulstone, University of Chicago
Discussant: Linda Vincent, Northwestern University

  1. “Discretionary Risk Disclosures” by B. Jorgensen and M. Kirschenheiter
  2. “Residual Income Risk, Intrinsic Value, and Share Prices” by S. Baginski and J. Wahlen
  3. “Do SEC Disclosures Reduce Investors’ Disagreements about Firms’ Exposures to Market Risk?” by T. Linsmeier, D. Thornton, M. Venkatachalam, and M. Welker



Chair: Cheng-Few Lee, Rutgers
Discussants: Biao Lu, University of Michigan; Tyler Shumway, University of Michigan; Ehud Ronn, Univerity of Texas; Haitao Li, Cornell University Discussants: Rajesh Aggarwal, Dartmouth; Karin Thorburn, Dartmouth; Nathalie Moyen, University of Colorado; Charles Hadlock, Michigan State University

  1. “Quadratic Term Structure Models: Theory and Evidence” by D. Ahn, R. Dittmar, and R. Gallant
  2. “Assessing the Empirical Potential of Alternative Hazard Rate Models of Risky Debt” by G. Bakshi, D. Madan, and F. Zhang
  3. “Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities” by J. Liu and F. Longstaff
  4. “Performance Evaluation of Hedge Funds with Option-based and Buy-and-Hold Strategies” by V. Agarwal and N. Naik

“Capital Structure”

Chair: Lemma Senbet, University of Maryland

  1. “Bank Underwriting of Corporate Bonds: Evidence from Japan after the Financial System Reform of 1993″ by Y. Hamao and T. Hoshi
  2. “The Dynamics of Debtor-in-Possession Financing: Bankruptcy Resolution and the Role of Prior Lenders” by S. Dahiya, K. John, M. Puri, and G. Ramirez
  3. “Performance Pricing in Debt Contracts” by A. Beatty and J. Weber
  4. “Testing the Pecking Order Theory of Capital Structure” by M. Frank and V. Goyal

Introductions by E. Han Kim

Opening Remarks by Akira Miyake, President, Mitsui Mutual Life Insurance Company

Keynote address by Myron S. Scholes, Nobel Laureate
“Chaos and the Evolution of Risk Management”

FEA Executive Committee meeting in Room 2760, following dinner


“Properties of Forecasts and Earnings”

Chair: Larry Brown, Georgia State
Discussant: Kin Lo, University of British Columbia

  1. “Earnings Skewness and Analyst Forecast Bias” by Z. Gu and J. Wu
  2. “The Rewards to Meeting or Beating Earnings Expectations” by E. Bartov, D. Givoly, and C Hayn
  3. “Differences in Commercial Database Reported Earnings” by J. Abarbanell and R. Lehavy

“Tax Issues”

Chair: TBA
Discussant: Mary Margaret Myers, University of Chicago

  1. “Capital Gains Taxes and Price and Volume Responses to Quarterly Earnings Announcements” by J. Blouin, J. Smith Raedy, and D. Shackelford
  2. “Earnings Management, Tax Planning, and Book-Tax Differences” by S. Olhoft, J Phillips, and M. Pincus
  3. “Materiality and Contingent Tax Liability Reporting” by C. Gleason and L. Mills



Chair: B. Espen Eckbo, Dartmouth College
Discussants: Andres Almazan, University of Texas; Eslyn Jean-Baptiste, Columbia University; B. Espen Eckbo, Dartmouth

  1. Why Do Managers Diversify Their Firms? Agency Reconsidered”by R. Aggarwal and A. Samwick
  2. “Don’t Put All Your Eggs in One Basket? Diversification and Specialization in Lending” by A. Winton
  3. “Global Diversification, Industrial Diversification, and Firm Value”by D. Denis, D. Denis, and K. Yost


Chair: Kose John, New York University
Discussants: Kathy Yuan, University of Michigan; Francesca Cornelli, Duke University; Uday Rajan, Carnegie Mellon University

  1. “Structuring the Initial Offering: Who to Sell To and How to Do It”by V. Maksimovic and P. Pichler
  2. “Using Put Warrants to Reduce Corporate Financing Costs” by S. Gibson and R. Singh
  3. “Do Underwriters Encourage Stock Flipping? A New Explanation for the Underpricing of IPOs” by E. Boehmer and R.P. Fishe


“Analytical Models of Corporate Disclosure”

Chair: DJ Nanda, University of Michigan
Discussant: Caroline Levine, Duke University

  1. “Sunshine Trading by Corporate Insiders: Implications for Public Disclosure” by S. Huddart, J. Hughes and M. Williams
  2. “Brokerage Commissions and Pre-Disclosure Information Environment” by G. Livne
  3. “Influence of a Firm’s Capital Structure on its Disclosure Policy and Agency Costs” by B. Balachandran and S. Sridar

“Accruals and Earnings Management”

Chair: Patty Dechow, University of Michigan
Discussant: Mary Ellen Carter, Columbia University

  1. “Can ‘Big Bath’ and Earnings Smoothing Coexist?” by M. Kirschenheiter and N. Melumad
  2. “Fourth Quarter Reversals in Earnings Changes” by S. Das and P. Shroff
  3. “Accruals Management, Investor Sophistication and Equity Valuation” by S. Balsam, E. Bartov, and C. Marquardt



Chair: Gautam Kaul, University of Michigan
Discussants: Joshua Coval, University of Michigan; Vikram Nanda, University of Michigan; Mark Schroder, Michigan State University

  1. “Momentum, Business Cycle and Time-Varying Expected Returns” by T. Chordia and L. Shivakumar
  2. “Closed-End Fund Discounts with Informed Ownership Differential” by G. Grullon and F.A. Wang
  3. “Can Survival Bias Explain the ‘Equity Premium Puzzle’?” by H. Li and Y. Xu


Chair: Milton Harris, University of Chicago
Discussants: John Persons, Ohio State University; S. Viswanathan, Duke University; Naveen Khanna, Michigan State University

  1. “A Continuous-Time Model of Explicit and Implicit Incentives” by N. Arora and Hui Ou-Yang
  2. “The Dynamics of Capital Allocation” by N. Stoughton and J. Zechner
  3. “Portfolio Delegation with Limited Liability” by U. Rajan and S. Srivastava


“Corporate Disclosure — Empirical Tests”

Chair: Russ Lundholm, University of Michigan
Discussant: Dan Bens, University of Chicago

  1. “Investor and Analyst Reactions to Earnings Announcements of Competing Firms” by S. Ramnath
  2. “SEC Mandated Disclosures” by O. Barron, C. Kile, and R. Venkataraman
  3. “Disclosure Level and Expected Cost of Capital” by C. Botosan and M. Plumlee

“Accounting Conservatism and Auditing”

Chair: Mark Bradshaw, Harvard
Discussant: John Eichenseher, University of Wisconsin

  1. “Accounting Conservatism and Cost of Debt” by A. Ahmed, B. Billings, M. Harris, and R. Morton
  2. “Differences in Conservatism between Big 8 and Non-Big 8 Auditors” by S. Basu, L. Hwang, and C. Jan
  3. “Going Concern Initial Public Offerings” by M. Willenborg and J. McKeown



Chair: M.P. Narayanan, University of Michigan
Discussants: Peter Wysocki, University of Michigan; Daniel Wolfenzon, University of Michigan

  1. “Biased Forecasts or Biased Earnings? The Role of Earnings Management in Explaining Apparent Optimism and Inefficiency in Analysts’ Earnings Forecasts” by R. Lehavy and J. Abarbanell
  2. The Role of Social Capital in Financial Development” by L. Guiso, P. Sapienza, and L. Zingales


Chair: Anjan Thakor, University of Michigan
Discussants: Gurdip Bakshi; Chris Telmer, Carnegie Mellon University; Sugato Bhattacharyya, University of Michigan

  1. “On Stock Market Return Co-Movements: Macroeconomic News, Dispersion of Beliefs, and Contagion” by R. Connolly and F.A. Wang
  2. “Equity Returns and Contagion during the East Asian Crisis” by B. Gerard and Y. Thanyalakpark
  3. “Contagion as a Wealth Effect” by A. Kyle and W. Xiong


“Earnings Management and Disclosure”

Chair: TBA
Discussant: Debra Krolick, University of Michigan

  1. “Differential Earnings Management across Public and Private Banks” by A. Beatty, B. Ke, and K. Petroni
  2. “Management of the Loss Reserve Accrual and the Distribution of Earnings in the Property-Casualty Insurance Industry” by W. Beaver, M. McNichols, and K. Nelson
  3. “Forward-Looking Earnings Statements: Determinants and Market Response” by G. Miller and J. Piotroski


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“Firm Behavior”

Chair: S. Viswanathan, Duke University
Discussants: Tim Adam, HRUST & University of Michigan; James Hodder, University of Wisconsin; Christine Parlour, SEC and CMU

  1. “The Bright Side of Internal Capital Markets” by N. Khanna and S. Tice
  2. “Exchange-Rate Risk Management: Evidence from East Asia” by G. Allayannis, G. Brown, and L. Klapper
  3. “Resource Allocation in Conglomerates under Moral Hazard” by A. M. Goel, V. Nanda, and M. P. Narayanan