2015 FMA APPLIED FINANCE CONFERENCE

Friday, May 15, 2015

St. John's University

PANEL SESSIONS ON

New Frontiers in Portfolio Management

Bank Supervision after the Financial Crisis

SESSIONS

Investments and Trading

Corporate Considerations

Debt & Equity Financing

Investors' Perception of and Influence on

Corporate Decisions

KEYNOTE ADDRESS

AGENCY COSTS - IMAGINED AND REAL

Martin (Marty) Fridson

Chief Investment Officer

Lehmann, Livian, Fridson Advisors LLC

Welcome to the Fifth Annual Applied Finance Conference, co-sponsored by St. John's University, the Alois J. Theis

Endowment in Global Finance, Journal of Applied Finance, and the Financial Management Association International.

This year's program is complete with a number of timely papers, two special panel sessions on "New Frontiers in Portfolio

Management" and "Bank Supervision after the Financial Crisis", and Marty Fridson's Keynote Address: "Agency Costs -

Imagined and Real". We hope you will find something on the program that is especially interesting to you. Over 100 papers

were submitted for the program, of which only 10% were accepted.

Very special thanks go to Dean Victoria Shoaf of the Peter J. Tobin College of Business at St. John's University for her generous support of this year's conference. Founded by the Vincentian Fathers in 1870, St. John's University is a private, Catholic university with campuses in Queens, Manhattan, Staten Island and Rome, Italy, as well as a graduate center in Oakdale, New York. A campus in Paris, France, opened in the spring of 2009. St. John's is organized into five undergraduate and six graduate schools. The university has nearly 25,000 full- and part-time undergraduate and graduate students at the University’s six locations, including non-resident students representing 47 states, the District of Columbia, Guam, Puerto Rico, the US Virgin Islands, and 116 countries. The Princeton Review named St. John’s a Best Northeastern College. St. John’s also appears in The Princeton Review’s 2013 Edition of “The Best 377 Colleges.” The Financial Management Association International (FMA) was established in 1970 to foster development in the field of

finance with particular emphasis on financial management. Although the early emphasis was on financial management, FMA

also serves those in the profession who conduct research, practice, and/or teach in all areas of finance including investments,

markets and institutions, derivatives and risk management, international finance, and behavioral finance. This broader agenda

is especially evident at FMA’s conferences in North America, Europe, and Asia.

FMA is a unique organization in many ways, in part due to our joint commitment to both quality and inclusiveness. In the past

40+ years, FMA has strived to do more to encourage research of the highest quality without abandoning inclusiveness.

Among other things, FMA’s concept of inclusiveness encompasses providing the opportunity – by means of a fair and open

process – for people of differing interests and needs to participate in presenting and discussing research.

2015 APPLIED FINANCE CONFERENCE PROGRAM CHAIRS

Dr. Anna Martin Dr. Betty Simkins Alois J Theis Endowed Chair & Professor of Finance Williams Companies Professor of Business and Professor of Finance St. John's University Oklahoma State University

CONFERENCE PROGRAM

CONFERENCE REGISTRATION AND CONTINENTAL BREAKFAST

8:00 am - 8:30 am - Located after the main entrance/security desk (as you enter the building)

SESSION 1, INVESTMENTS AND TRADING 8:30 am - 10:15 am, Room C06

Chairperson: Timothy Krause, Penn State Erie - The Behrend College

Redemption Fees: Reward for Punishment Michael S Finke, Texas Tech University David Nanigian, The American College William Waller, UNC Chapel Hill Presenter: David Nanigian Discussant: John Neumann,

St. John's University

Residual Correlation, Active Management, and Fund Performance Wei Huang, University of Hawai'i at Mānoa David Hunter, University of Hawai'i at Mānoa Trang Phan, Augustana College Presenter: Wei Huang Discussant: Ivilina Popova,

Texas State University San Marcos

Betting against Beta or Demand for Lottery Turan G Bali, Georgetown University Stephen J Brown, New York University Scott Murray, University of Nebraska Lincoln Yi Tang, Fordham University Presenter: Scott Murray Discussant: Yuzhao Zhang,

Rutgers University

Practitioner Insights Niso Abuaf, Chief Economist and Strategist, Ramirez and Company

SESSION 2, CORPORATE CONSIDERATIONS

8:30 am - 10:15 am, Room C07

Chairperson: Guido Mantovani, Universita Ca' Foscari Venizia

Bank Equity Ownership and Corporate Hedging: Evidence from Japan Piman Limpaphayom,

Portland State University Daniel A Rogers,

Portland State University Noriyoshi Yanase,

Tokyo Keizai University Presenter: Daniel Rogers Discussant: Nathan Dong,

Columbia University

An Empirical Analysis of DCF Discount Rates and Corresponding Weighted-Average Costs of Capital Robert Comment Presenter: Robert Comment Discussant: Sam Weaver,

Lehigh University

Why FX Risk Management is Broken - and What Boards Need to Know to Fix It Alf Alviniussen Håkan Jankensgård,

Lund University Lars Oxelheim

Lund University Presenter: Håkan Jankensgård Discussant: David Carter,

Oklahoma State University

Til Death Do Us Part: The Long Tenured Directors Puzzle Stefano Bonini, Stevens Institute of

Technology & New York University Justin Deng,

New York University Mascia Ferrari,

New York University Kose John,

New York University Presenter: Stefano Bonini Discussant: Alexandra Niessen-Ruenzi,

University of Mannheim

COFFEE BREAK 10:15 AM - 10:30 AM, C06-07 Hallway

SESSION 3, NEW FRONTIERS IN PORTFOLIO MANAGEMENT - SPECIAL PANEL PRESENTATION

10:30 am - 11:30 am, Room C07

Portfolio management is constantly evolving with the development of new techniques and new products. This panel will discuss innovations in portfolio management from three different angles. The first presentation will deal with the smart use of diverse financial instruments to take

advantage of short‐term tactical opportunities or to provide protection in down markets. The second presentation will explore smart beta strategies and products, providing an assessment what we have learned so far in this area. The third presentation will deal with how portfolios that are optimal based on high‐frequency returns may lead to suboptimal results for investors with long horizons, and how to build portfolios that balance short‐horizon and long-horizon optimality. Moderator Javier Estrada, Professor of Finance and Founding Partner and CEO IESE Business School and Sports Global Consulting Investments (SCGI) Panelists Rose Mary Cosio, Executive Director, Ultra High Net-Worth Clients UBS Wealth Management Smart Use of Diverse Financial Instruments Javier Estrada, Professor of Finance and Founding Partner and CEO IESE Business School and Sports Global Consulting Investments (SGCI) Smart Beta: Landscape and Assessment Mark Kritzman, Founding Partner and CEO Windham Capital Management The Divergence of High and Low Frequency Estimation: Causes and Consequences

KEYNOTE ADDRESS

AGENCY COSTS - REAL AND IMAGINED Martin "Marty" Fridson, Chief Investment Officer Lehmann, Livian, Fridson Advisors LLC 11:45 am - 12:45 pm, Rooms 105 & 106

Martin (Marty) Fridson is, according to The New York Times, “one of Wall Street’s most thoughtful and perceptive analysts.” In 2000, Fridson became the youngest person ever inducted into the Fixed Income Analysts Society Hall of Fame. He was dubbed "the dean of the high yield bond market" in conjunction with being voted onto the Institutional Investor All-America research team. According to Barron’s, “No one brings more insight or a better reputation for integrity to the junk-bond market than Marty Fridson.” Grant’s Interest Rate Observer labeled him “indispensable.” Investment manager Michael McAdams described Fridson as “a hybrid of Stephen Hawking and Studs Terkel.” Pens ions & Investments called his satirical writing on financial markets “worthy of Jonathan Swift.” In this insightful address, Marty will address the alleged distortion in corporate bond ratings arising from the conflict of issuers paying for the ratings, showing that the record on corporate ratings at Moody's, S&P, and Fitch is actually pretty good. Research finds some imperfections, such as some tardiness in upgrading from the lowest categories, but hardly anything one could reasonably call corruption. The problems have been more severe in the structured finance area for reasons that make eminent theoretical sense. The conflict of interest that gets much less attention but has a lot of impact on investors is the fact that underwriters are paid by the issuers. The popular image of an underwriter is of an impartial party who organizes a meeting of borrowers and lenders at the point at which the market clears. In reality, as a result of the issuer choosing the underwriter from a pool that has little basis for legitimate competition, the average deal is worse than average from the investor's standpoint - the reverse of the Lake Wobegon Effect.

COFFEE BREAK 11:30 AM - 11:45 AM, Rooms 105-106 Hallway

SESSION 4, BANK SUPERVISION AFTER THE FINANCIAL CRISIS - SPECIAL PANEL PRESENTATION

2:00 pm - 3:30 pm, Room C07

This session focuses on the intent and impact of bank supervision and regulation after the financial crisis. A diverse group of panelists will describe the Federal Reserve's revised approach to large bank supervision, discuss several challenges that this has created for the banking industry, and evaluate where we stand in terms of balancing regulatory benefits and costs from a public policy perspective. Moderator Jason Berkowitz, Assistant Professor St. John's University

Panelists Robert DeYoung, Capitol Federal Distinguished Professor in Financial Markets and Institutions University of Kansas

W Scott Frame, Financial Economist and Senior Policy Adviser Federal Reserve Bank of Atlanta

Beverly Hirtle, Senior Vice President Federal Reserve Bank of New York

Mark Kust, Model Validation Executive Ally Financial

COFFEE BREAK 3:30 pm - 3:45 pm, C06-07 Hallway

SESSION 5, DEBT & EQUITY FINANCING 3:45 pm - 5:30 pm Room C06

Chairperson: Ken Small, Coastal Carolina University

Does Dynamic Tradeoff Theory Explain High-Frequency Debt Issuers? B Espen Eckbo,

Dartmouth College Michael Kisser,

Norwegian School of Economics Presenter: B Espen Eckbo Discussant: Rose Liao,

Rutgers University

Does a Firm's Bond IPO have Implications for the Degree of Monitoring by Private Lenders? Tashfeen Hussain, Queen's University Presenter: Tashfeen Hussain Discussant: Andreas Christopoulos,

University of Scranton

Initial Public Offerings and Insider Participation: The Role of Venture Capitalists and Corporate Partners in the IPO Process Hans Jeppsson, University of Gothenburg Presenter: Hans Jeppsson Discussant: Rick Smith,

University of California, Riverside

Practitioner Insights John Finnerty, Managing Director, AlixPartners

LUNCHEON 1:00 pm - 2:00 pm, Rooms 105 & 106

SESSION 6, INVESTORS' PERCEPTION OF AND INFLUENCE ON CORPORATE DECISIONS 3:45 pm - 5:30 pm, Room C07

Chairperson: Sunil Mohanty, Brooklyn College, CUNY

The Pre-holiday Corporate Announcement Effect Don Autore, Florida State University Kelley Bergsma, Ohio University Danling Jiang, Florida State University Presenter: Kelley Bergsma Discussant: Stephen Brown,

New York University

Do Long-Term Investors Improve Corporate Decision Making? Jarrad Harford, University of Washington Ambrus Kecskés, York University Sattar Mansi, Virginia Tech Presenter: Ambrus Keskés Discussant: Laura Gonzalez,

Fordham University

Pay for Performance: Is All Disclosure Created Equal? Brandy Hadley, University of Tennessee Presenter: Brandy Hadley Discussant: Anne Marie Anderson,

Lehigh University

Practitioner Insights Don Chew, Editor in Chief, Journal of Applied Corporate Finance John McCormack, Associate Editor, Journal of Applied Corporate Finance

RECEPTION 5:30 PM - 6:30 PM - Cullom Davis Library (2nd Floor)

PROGRAM CHAIRS Dr. Anna Martin, Alois J Theis Endowed Chair & Professor of Finance St. John's University Dr. Betty Simkins, Williams Companies Professor of Business & Professor of Finance Oklahoma State University

PROGRAM COMMITTEE Aigbe Akhigbe, University of Akron

Katya Bardos, Fairfield University

Mikael Bergbrant, St. John's University

Jason Berkowitz, St. John's University

Alex Boquist, Oklahoma State University

Ben Branch, University of Massachusetts

Javier Estrada, IESE Business School

John Finnerty, AlixPartners

Andrea Heuson, University of Miami

Gregory Koutmos, Fairfield University

David Lange, Auburn University Montgomery

Sunil Mohanty, Brooklyn College, CUNY

Ivilina Popova, Texas State University San Marcos

Dan Rogers, Portland State University

Joshua Rosett, Claremont McKenna College

Rick Smith, UC Riverside

David Walker, Georgetown University

Sam Weaver, Lehigh University

Ann Marie Whyte, University of Central Florida

Yun Zhu, St. John's University

SPEAKERS

Abuaf, Niso Chief Economist & Strategist, Ramirez and Company

Anderson, Anne Marie Associate Professor, Lehigh University

Bergsma, Kelley Assistant Professor, Ohio University

Berkowitz, Jason Assistant Professor, St. John's University

Bonini, Stefano Assistant Professor, Stevens Institute of Technology

Brown, Stephen David S Loeb Chair of Finance, New York University

Carter, David Greg Massey Professor of Finance, OBA Chair of Commercial Bank Management, Oklahoma State University

Chew, Don Editor-in-Chief, Journal of Applied Corporate Finance

Christopoulos, Andreas Assistant Professor, University of Scranton

Comment, Robert

Cosio, Rose Mary Executive Director, Ultra High Net-Worth Clients, UBS Wealth Management

DeYoung, Robert Capitol Federal Distinguished Professor in Financial Markets & Institutions, University of Kansas

Eckbo, B Espen Tuck Centennial Chair in Finance, Dartmouth College

Estrada, Javier Professor of Financial Management, IESE Bus School & Founding Partner & CEO, Sports Global Consulting Investments (SGCI)

Finnerty, John Managing Director, AlixPartners

Frame, W Scott Financial Economist & Senior Policy Adviser, Federal Reserve Bank Atlanta

Gonzalez, Laura Assistant Professor, Fordham University

Hadley, Brandy PhD Student, University of Tennessee

Hirtle, Beverly Senior Vice President, Federal Reserve Bank New York

Huang, Wei Professor of Finance, John & Sue Dean Distinguished Professor, University of Hawai'i at Mānoa

Hussain, Tashfeen PhD Student, Queen's University

Jankensgård, Håkan Assistant Professor, Lund University

Jeppsson, Hans Post-doc Researcher & Broman Scholar, University of Gothenburg

Keskés, Ambrus Assistant Professor, York University

Krause, Tim Assistant Professor, Penn State Erie - The Behrend College

Kritzman, Mark Founding Partner & CEO, Windham Capital Management

Kust, Mark Model Valuation Executive, Ally Financial

Liao, Rose Assistant Professor, Rutgers University

Mantovani, Guido Professor of Corporate Finance, Universita Ca' Foscari Venizia

McCormack, John Associate Editor, Journal of Applied Corporate Finance

Mohanty, Sunil Professor and Department Chairperson, Brooklyn College, CUNY

Murray, Scott Assistant Professor, University of Nebraska Lincoln

Nanigian, David Associate Professor of Investments, The American College

Neumann, John Associate Professor, St. John's University

Niessen-Ruenzi, Alexandra Chair of Corporate Governance, University of Mannheim

Popova, Ivilina Associate Professor, Texas State University San Marcos

Rogers, Dan Associate Professor, Portland State University

Small, Ken Professor, Coastal Carolina University

Smith, Rick Professor of Finance & Philip L Boyd Chair, University of California, Riverside

Weaver, Sam Finance Professor of Practice, Lehigh University

Zhang, Yuzhao Assistant Professor, Rutgers University

THE JOURNAL OF APPLIED FINANCE (JAF)

The mission of the Journal of Applied Finance is twofold: (1) to encourage and disseminate academic research that is relevant to practice and

accessible to practitioners, and (2) to advance the frontiers of relevant academic research through academic and practitioner forums of all types

and through hypothesis generation for actionable research. JAF seeks to be the leading bridging journal between practitioners and academics.

Consistent with its mission, JAF publishes content that both informs practice and advance the frontiers of academic research in directions relevant

to practice. JAF encourages submissions aimed at both rather than either of these audiences. Examples of appropriate content include, but are not

limited to, the following:

Research that advance the frontier of knowledge, is on topics of interest to practice, and is written to be accessible to practitioners. Appropriate submissions may include theoretical and empirical research, practical perspectives on topics of interest to academics, survey of practice, and syntheses of academic research. This category includes both original research and companion pieces to papers published in or targeted to outlets intended mainly for academics.

Comprehensive surveys of academic literature relevant to research and practice, and with the potential to stimulate future research in directions relevant to practice.

Roundtable/panel discussions, forums and proceedings involving corporate executives and/or academics, and surveys that serve to inform practice and stimulate further research via hypothesis generation.

Clinical/case studies of high interest to the profession and with the potential to stimulate future research. These typically are investigations of real world situations using unique sources of data, and should designed both to inform practitioners and to provide direction for future research - extending the frontier of knowledge based on insight developed through the clinical/case analysis.

Book reviews of interest to both academics and practitioners.

All content is subject to academic review. JAF has a 2-stage review process. Manuscripts and other submissions are first reviewed by the editors

for appropriateness, relevance, and quality of exposition. Submissions deemed to be potentially publishable are then assigned to one or more

referees.

JAF is published semi-annually in Spring and Fall.

UPCOMING FMA CONFERENCES

2015 FMA European Conference 11 & 12 June, 2015

Ca' Foscari University of Venice Venice, Italy

2015 FMA Asian/Pacific Conference 23 - 25 June, 2015

Seoul National University Seoul, South Korea

2015 Annual Meeting 14 - 17 October, 2015

Hilton Orlando Bonnet Creek Hotel Orlando, Florida

2016 Napa Conference April 16, 2016

Napa, California

2016 Asia/Pacific Conference 13 - 16 July, 2016 Sydney, Australia

2016 European Conference 8 - 10 June, 2016 Helsinki, Finland

2016 Annual Meeting 19 - 22 October, 2016

Las Vegas, Nevada

For additional conference information, Calls-for-Papers, on-line programs, etc., please visit:

www.fma.org

Financial Management Association - University of South Florida - Muma College of Business Administration - Tampa, FL 33620-5500