Asian FA 2012 International Conference Program at a Glance · BF2 V110 FI3 V101 V102 ISB V106 V107...

Asian FA 2012 International Conference Program at a Glance

Asian Finance Association and Taiwan Finance Association

2012 Joint International Conference

Friday, July 6, 2012

15:30-17:30 Asian FA Board Meeting (VF, 101)

16:00-18:00 Registration (1F, Lobby)

Saturday, July 7, 2012

08:30-09:00 Registration (1F, Lobby)

09:20-09:40

OPENING CEREMONY (10F, The Auditorium/Theatre style)

Dr. Chi Schive (Chairman of Taiwan Finance Association)

Professor David Ding (President of Asian Finance Association)

09:40-10:10

WELCOME AND OPENING REMARKS (10F, The Auditorium/Theatre style)

Professor Chuan Lee (President of Ming Chuan University)

Professor Chandrasekhar Krishnamurti (University of Southern Queensland)

10:10-10:40 WELCOM SPEECH (10F, The Auditorium/Theatre style)

Mr. Wu Den-yih (Vice President of the Republic of China)

10:40-11:00 Coffee Break

11:00-12:00 KEYNOTE SPEECH (10F, The Auditorium/Theatre style)

Professor Alexander Ljungqvist (New York University)

12:00-13:30 Lunch Break

(Buffet, BF, Ji Shiang Room)

13:30-15:10

SPECIAL FORUM (10F, The Auditorium/Theatre style)

Sovereign Credit Crisis and Foreign Exchange Risk

V105

SS

V110

FX

V101

AP1

V102

CFJ

V106

IPOSEO

V107

CG

V103

CF1

V104

GFM

V108

MM1

V109

SPS


15:30-17:10

SPECIAL FORUM (10F, The Auditorium)

全球氣候鉅變、新型產業創新與智慧資本創造 (Chinese)

V105

CFB

V110

IF

V101

AP2

V102

HKUST

V106

SR

V107

PC

V103

CF2

V104

BI

V108

MM2

V109

18:30-21:00 WELCOME RECEPTION

(Buffet, VF Int’l Reception Hall)

Sunday, July 8, 2012

09:00-10:40

SPECIAL FORUM (VF, Int’l Reception Hall)

兩岸金融市場發展/兩岸資本市場改革 (Chinese)

V105 V110 V101 V102 V106 V107 V103 V104 V108 V109

http://www.meep.nsysu.edu.tw/proj02/page05.html#wszh

CB FI1 AP3 Elsevier AI CFIC1 CF3 ACC1 MM3


10:50-12:30


The Mode for Creating a Currency Union in the Asian Zone

V105

BF1

V110

FI2

V101

AP4

V102

NTU

V106

AER

V107

CFIC2

V103

CF4

V104

ACC2

V108

MM4

V109

IF1

12:30-14:00 LUNCH AND ASIAN FA ANNUAL GENERAL MEETING

(Buffet, BF, Ji Shiang Room)

14:00-15:00 KEYNOTE SPEECH (VF, Int’l Reception Hall)

Professor Laura Starks (University of Texas at Austin)

15:00-16:40

V105

BF2

V110

FI3

V101

V102

ISB

V106

V107

INVF1

V103

CF5

V104

CR

V108

MM5

V109

GFM1


經濟部成果發表 (15:30-17:30) (Chinese)

文辭探勘與自然語言處理技術於信用風險評估與智慧型市場行銷之跨領域應用


16:50-18:30 V105

EM

V110

VOL

V101

JEd

V102

RM

V106

IPO

V107

INVF2

V103

CF6

V104

D

V108

GFM2

V109

CFG1

18:45-21:00 CONFERENCE DINNER AND RESEARCH AWARDS CEREMONY

(Chinese Cuisine, VF Int’l Reception Hall)

Monday, July 9, 2012

09:00-10:30


兩岸共攜共榮、創造黃金十年 (Chinese)

V105

AP

V110

FIR1

V101

CFG2

V102

CFG3

V106

GFM3

V107

GFM4

V103

I

V104

BFAM1

V108

MM

V109

IF2

10:30-11:00 Coffee Break and TAIWAN FINANCE ASSOCIATION ANNUAL MAEETING

臺灣財務金融學會年會 (VF, Int’l Reception Hall)

11:00-12:30 V105

CFIC

V110

FIR2

V101

CFG4

V102

MA

V106

IC

V107

GFM5

V103

BFAM2

V104

BFAM3

V108

RM

V109

FFE

Sponsored Universities Session

Special session: Meet Journal Editors

TFA English Sessions

TFA Chinese Sessions

Session Guide

Session Topic Venue Time

Saturday (July 7, 2012)

1 Short Selling and Trading V105 13:30-15:10

2 Foreign Exchange and International Trade V110 13:30-15:10

3 Asset Pricing 1 V101 13:30-15:10

4 Corporate Finance Issues in Japan V102 13:30-15:10

5 IPOs and SEOs V106 13:30-15:10

6 Corporate Governance V107 13:30-15:10

7 Corporate Finance 1 V103 13:30-15:10

8 Global Financial Market V104 13:30-15:10

9 Market Microstructure 1 V108 13:30-15:10

10 Special Session on Test Mining and Real Estate

Finance

V109 13:30-15:10

11 Corporate Finance and Banking V105 15:30-17:10

12 International Finance V110 15:30-17:10

13 Asset Pricing 2 V101 15:30-17:10

14 HKUST Sponsored Special Session for

Doctoral Students and Junior Faculty

Members

V102 15:30-17:10

15 Stock Repurchases V106 15:30-17:10

16 Political Connections V107 15:30-17:10


18 Banking Issues V104 15:30-17:10


20 V109 15:30-17:10

Sunday (July 8, 2012)

21 Issues Related to Corporate Board V105 09:00-10:40

22 Financial Institutions 1 V110 09:00-10:40

23 Asset Pricing 3 V101 09:00-10:40

24 Elsevier Special Session V102 09:00-10:40

25 Alternative Investments V106 09:00-10:40

26 Corporate Finance and Investment in China 1 V107 09:00-10:40


28 Accounting and Capital Markets 1 V104 09:00-10:40


30 V109 09:00-10:40

31 Behavioral Finance 1 V105 10:50-12:30


33 Asset Pricing 4 V101 10:50-12:30

34 NTU Sponsored Special Session for Doctoral

Students and Junior Faculty Members

V102 10:50-12:30

35 Anomalies and Empirical Regularities V106 10:50-12:30

36 Corporate Finance and Investment in China 2 V107 10:50-12:30


38 Accounting and Capital Markets 2 V104 10:50-12:30


40 International Finance 1 V109 10:50-12:30

41 Behavioral Finance 2 V105 15:00-16:40


43 V101 15:00-16:40

44 ISB Sponsored Special Session for Doctoral

Students and Junior Faculty Members

V102 15:00-16:40

45 V106 15:00-16:40

46 Investment Funds 1 V107 15:00-16:40


48 Credit Ratings V104 15:00-16:40


50 Global Financial Market 1 V109 15:00-16:40

51 Emerging Markets V105 16:50-18:30

52 Volatility V110 16:50-18:30

53 Meet Journal Editors V101 16:50-18:30

54 Risk Management V102 16:50-18:30

55 IPOs/Cross Listing V106 16:50-18:30

56 Investment Funds 2 V107 16:50-18:30


58 Derivatives V104 16:50-18:30

59 Global Financial Markets 2 V108 16:50-18:30

60 Corporate Finance and Governance V109 16:50-18:30

Monday (7/9/2012) (TFA Chinese Sessions)

61 Asset Pricing V105 09:00-10:40

62 Financial Institutions and Regulation 1 V110 09:00-10:40

63 Corporate Finance and Governance 2 V101 09:00-10:40




67 Insurance V103 09:00-10:40

68 Behavioral Finance and Asset Management 1 V104 09:00-10:40

69 Market Microstructure V108 09:00-10:40

70 International Finance 2 V109 09:00-10:40

71 Corporate Finance and Investment in China V105 10:50-12:30

72 Financial Institutions and Regulation 2 V110 10:50-12:30


74 Merge and Acquisition V102 10:50-12:30

75 Intellectual Capital Valuation for Creative

Industries

V106 10:50-12:30




79 Risk Management V108 10:50-12:30

80 Frontiers in Financial Econometrics V109 10:50-12:30

Sponsored Universities Session

Special session: Meet Journal Editors

TFA English Sessions

TFA Chinese Sessions

Asian FA Conference Program

FRIDAY JULY 6, 2012

AsianFA Board Meeting 15:30-17:30

VF, 101

Registration – Hotel Lobby 16:00-18:00

1F, Lobby

SATURDAY JULY 7, 2012

OPENING CEREMONY

Dr. Chi Schive (Chairman of Taiwan Finance Association)

Professor David Ding (President of Asian Finance Association)

09:20-09:40

Auditorium

(10/F)

WELCOME AND OPENING REMARKS

Professor Chuan Lee (President of Ming Chuan University, Taiwan, R.O.C.)

Professor Chandrasekhar Krishnamurti (University of Southern Queensland,

Australia)

09:40-10:10

Auditorium

(10/F)

WELCOME SPEECH

Mr. Wu Den-yih (Vice President of The Republic of Chian)

10:10-10:40

Auditorium

(10/F)

COFFEE BREAK 10:40-11:00

Auditorium

(10/F)

KEYNOTE SPEECH

Topic: Disclosure and Liquidity

Professor Alexander Ljungqvist (New York University, USA)

Introduced by Yang-Cheng Lu (Ming Chuan University)

11:00-12:00

Auditorium

(10/F)

LUNCH (Buffet) 12:00-13:30

Ji Shiang Room

(BF)

SPECIAL FORUM 13:30-15:10

http://www.meep.nsysu.edu.tw/proj02/page05.html#wszh

Sovereign Credit Crisis and Foreign Exchange Risk

CONCURRENT SESSIONS 13:30-15:10

Session 1 SHORT SELLING AND TRADING

Chair: Andreas Wengner, University of Hohenheim

Vividness and Trading Behavior in an Experimental Asset Market (10283)

Sudeep Ghosh (Hong Kong Polytechnic University, Hong Kong)

Tom Vinaimont (City University of Hong Kong, Hong Kong)

Discussant: Binh Do (Monash University, Australia)

The Role of Alternative Lending Markets for Short Selling: Liquidity, Price

Discovery and Market Surveillance (10297)

Zsuzsa R. Huszar (National University of Singapore, Singapore)

Melissa Porras Prado (Nova School of Business and Economics, Portugal)

Discussant: Hung Wan Kot (Hong Kong Baptist University, Hong Kong)

The relative information content of short selling disclosures (10481)

Binh Do (Monash University, Australia)

Philip Gray (Monash University, Australia)

Discussant: Zsuzsa R. Huszar (National University of Singapore, Singapore)

Financial Analysts and Short Selling Activity (10056)

Hung Wan Kot (Hong Kong Baptist University, Hong Kong)

Discussant: Sudeep Ghosh (Hong Kong Polytechnic University, Hong Kong)

VF 105

Session 2 FOREIGN EXCHANGE AND INTERNATIONAL TRADE

Chair: Hui-Lung Chang, National Chengchi University

Foreign Exchange Market Efficiency under Recent Crises: Asia-Pacific Focus

(10075)

Rubi Ahmad (University of Malaya, Malaysia)

S. Ghon Rhee (University of Hawaii, USA)

Yuen-Meng Wong (University of Malaya, Malaysia)

Discussant: Wei Zhang (Deakin University, Australia)

Order Flows, Fundamentals and Exchange Rates (10110)

Kentaro Iwatsubo (Kobe University, Japan)

Ian W. Marsh (Kobe University, Japan)

Discussant: Catherine S F Ho (Universiti Teknologi MARA, Malaysia)

Dynamic Currency Hedging for International Stock Portfolio (10095)

Wei Zhang (Deakin University, Australia)

Christine Brown (Monash University, Australia)

Jonathan Dark (The Univeristy of Melbourne, Australia)

Discussant: Kentaro Iwatsubo (Kobe University, Japan)

Improving International Trade Competitiveness of Emerging ASEAN5+4 Countries

(10048)

Catherine S F Ho (Universiti Teknologi MARA, Malaysia)

Norzitah Abdul Karim (Universiti Teknologi MARA, Malaysia)

Bazilah Dalila Omar (Universiti Teknologi MARA, Malaysia)

Discussant: Yuen-Meng Wong (University of Malaya, Malaysia)

VF 110

Session 3 ASSET PRICING 1

Chair: Viet Do, Monash University

VF 101

Valuation of Guarantees Set Relative to Cross-Currency Stochastic Rates of Return

(10301)

Tsung-Yu Hsieh (Tamkang University, Taiwan)

Chi-Hsun Chou (Fo Guang University, Taiwan)

Son-Nan Chen (Shanghai Jiao Tong University, Taiwan)

Discussant: Lei Shi (University of Technology Sydney, Australia)

Heterogeneous Beliefs and Prediction Market Accuracy (10079)

Xue-Zhong He (University of Technology Sydney, Australia)

Nicolas Treich (Toulouse School of Economics, France)

Discussant: Tsung-Yu Hsieh (Tamkang University, Taiwan)

Heterogeneous Beliefs and the Performances of Optimal Portfolios (10264)

Xue-Zhong He (University of Technology Sydney, Australia)

Lei Shi (University of Technology Sydney, Australia)

Discussant: Qunzi Zhang (Swiss Finance Institute and HEC-Université de

Lausanne, Zurich)

Higher-Moment Asset Pricing and Allocation in a Heterogeneous Market

Equilibrium (10222)

Qunzi Zhang (Swiss Finance Institute and HEC-Université de Lausanne, Zurich)

Discussant: Xue-Zhong He (University of Technology Sydney, Australia)

Session 4 CORPORATE FINANCE ISSUES IN JAPAN

Chair: Robert G Bowman, University of Queensland, Australia

The Dark Side of Independent Venture Capitalists: Evidence from Japan (10118)

Yue Sun (Kyushu University, Japan)

Konari Uchida (Kyushu University, Japan)

Mamoru Matsumoto (University of Kitakyushu, Japan)

Discussant: Kyoko Nagata (Tokyo Institute of Technology, Japan)

Subsidiary Takeovers in JAPAN: Economic Roles and Valuation Effects (10288)

Tatsuo Ushijima (Aoyama Gakuin University, Japan)

Ulrike Schaede (University of California at San Diego, USA)

Discussant: Shams Pathan (University of Queensland, Australia)

Ownership Structure and Management Earnings Forecasts -Evidence from Japan

(10291)

Seiya Tokoro (Nomura Asset Management, Japan)

Kyoko Nagata (Tokyo Institute of Technology, Japan)

Discussant: Tatsuo Ushijima (Aoyama Gakuin University, Japan)

Does Board Structure in Banks Really Affect Their Performance? (10485)

Shams Pathan (University of Queensland, Australia)

Mamiza Haq (University of Queensland, Australia)

Philip Gray (Monash University, Australia)

Discussant: Yue Sun (Kyushu University, Japan)

VF 102

Session 5 IPOs and SEOs

Chair: Karen Benson, University of Queensland

Why Do Firms Issue Debt and Equity? (10208)

Muffadal Baxamusa (University of Saint Thomas, USA)

Sunil Mohanty (University of Saint Thomas, USA)

Ramesh P. Rao (Oklahoma State University, USA)

Discussant: Xiaowei Weng (Fudan University, China)

Social Capital and Post-IPO Firm Performance: A Study of Chinese

VF 106

Entrepreneurial Firms (10176)

Jerry X Cao (Singapore Management University, Singapore)

Yuan Ding (China Europe International Business School, China)

Hua Zhang (China Europe International Business School, China)

Discussant: Chiming Wu (National Chengchi University, Taiwan)

Conflicts of interest and IPO Underpricing: Implications from Founder versus

Non-founder (10454)

Kemin Wang (Fudan University, China)

Xiaowei Weng (Fudan University, China)

Discussant: Yuan Ding (China Europe International Business School, China)

What are Motives for Seasoned equity offering? Taiwan Evidences (10204)

Chiming Wu (National Chengchi University, Taiwan)

Ya-Hsin Lu (National Chengchi University, Taiwan)

Discussant: Ramesh P. Rao (Oklahoma State University, USA)

Session 6 CORPORATE GOVERNANCE

Chair: Shaojun Zhang, Hong Kong Polytechnic University

Shareholder Rights and Tunneling: Evidence from a Quasi-Natural Experiment

(10272)

Jun “QJ” Qian (Boston College, USA)

Shan Zhao (Shanghai University of Finance and Economics, China)

Discussant: Seul Koo (University of New South Wales, Australia)

Will Product Market Competition Affect the Structures of Corporate Governance

after Deregulation? Evidence from the Deregulation of U.S. Trucking and

Telecommunication Industries (10308)

I-Ju Chen (Yuan Ze University, Taiwan)

Discussant: Mamduh M Hanafi (Universitas Gadjah Mada, Indonesia)

Industry Structure, Loan Contract Terms, and the Role of Firm-Level and

Country-Level Corporate Governance (10446)

Seul Koo (University of New South Wales, Australia)

Discussant: I-Ju Chen (Yuan Ze University, Taiwan)

Ownership Concentration and Bank Performance: the Role of Bank Internal

Governance (10470)

Mamduh M Hanafi (Universitas Gadjah Mada, Indonesia)

Muazaroh (STIE Perbanas Surabaya, Indonesia)

Wahyu Sudarmono (World Bank Indonesia)

Amine Terazi (University of Limoges, France)

Discussant: Shan Zhao (Shanghai University of Finance and Economics, China)

VF 107

Session 7 CORPORATE FINANCE 1

Chair: Bang-Nam Jeon, Drexel University

Marital Prenups? A Look at CEO Severance Agreements (10253)

Peggy Huang (Tulane University, USA)

Discussant: Maggie Rong Hu (National University of Singapore, Singapore)

CEO Turnover and Takeover Threats: New Evidence From Antitakeover Legislation

(10275)

Jun Huang (Shanghai University of Finance and Economics, China)


Discussant: Qian Sun (Fudan University, China)

Information Asymmetry and Organizational Structure (10124)

VF 103

Yongheng Deng (National University of Singapore, Singapore)

Maggie Rong Hu (National University of Singapore, Singapore)

Anand Srinivasan (National University of Singapore, Singapore)


Voluntary Disclosure of Internal Control and Auditor Attestation: Evidence from

China (10403)

Lou Fang (Shanghai University of Finance and Economics, China)

Qian Sun (Fudan University, China)

Rong Yang (State University of New York, Brockport, USA)

Hongqi Yuan (Fudan University, China)

Discussant: Peggy Huang (Tulane University, USA)

Session 8 GLOBAL FINANCIAL MARKETS

Chair: Vigdis W Boasson, Central Michigan University

Classifying Chinese Bull and Bear Markets: Indices and Individual Stocks (10236)

Wei Chi (Monash University, Australia)

Robert Brooks (Monash University, Australia)

Banita Bissoondoyal-Bheenick (Monash University, Australia)

Xueli Tang (Deakin University, Australia)

Discussant: Ignatius Roni Setyawan (Tarumanagara University, Indonesia)

Rational Bubbles in G-7 Countries: An Empirical Note based on the ADL Test for

Threshold Cointegration (10356)

Tsangyao Chang (Feng Chia University, Taiwan)

Yuan Yuan Xu (Beijing Foreign Studies University, Beijing, China)

Discussant: Ming-Chang Cheng (National Chung Cheng University, Taiwan)

The Effect of Level of Intra Industry Competition and the Intensity of Role of Global

Investors toward Degree of Capital Market Integration in ASEAN (10066)

Ignatius Roni Setyawan (Tarumanagara University, Indonesia)

Buddi Wibowo (Indonesian University, Indonesia)

Discussant: Yuan Yuan Xu (Beijing Foreign Studies University, Beijing, China)

The Effect of Foreign Institutional Investors Before and After QFII Elimination:

Evidence from Taiwan (10047)

Ming-Chang Cheng (National Chung Cheng University, Taiwan)

Ching-Hwa Lee (National Chung Cheng University, Taiwan)

Chao-Tan Tseng (National Chung Cheng University, Taiwan)

Discussant: Wei Chi (Monash University, Australia)

VF 104

Session 9 MARKET MICROSTRUCTURE 1

Chair: Kalok Chan, Hong Kong University of Science and Technology

The Price Impact of Options and Futures Volume in After-hours Stock Market

Trading (10059)

Chuang-Chang Chang (National Central University, Taiwan)

Pei-Fang Hsieh (National Tsing Hua University, Taiwan)

Hung Neng Lai (National Central University, Taiwan)

Discussant: Jun Uno (Waseda University, Japan)

Speed of Trade and Liquidity (10076)

Jun Uno (Waseda University, Japan)

Mai Shibata (Rikkyo University, Japan)

Discussant: Rong Wang (Singapore Management University, Singapore)

Sell-Side Benchmarks (10238)

Ohad Kadan (Washington University in St. Louis, USA)

VF 108

Leonardo Madureira (Leonardo Madureira, Case Western Reserve University, USA)

Rong Wang (Singapore Management University, Singapore)

Tzachi Zach (Ohio State University, USA)

Discussant: Pei-Fang Hsieh (National Tsing Hua University, Taiwan)

Session 10 SPECIAL SESSION ON TEXT MINING AND REAL ESTATE

FINANCE

Chair: Yang-Cheng, Lu, Ming Chuan University

Can Linguistic Text Mining Technology Further Improve the Prediction Capability

of Corporate Credit Default? (10133)

Yang-Cheng Lu (Ming Chuan University, Taiwan)

Chung-Hua Shen (National Taiwan University, Taiwan)

Yu-Chen Wei (National Kaohsiung First University of Science and Technology,

Taiwan)

Discussant: Jyun-Ming Ke (National Kaohsiung First University of Science and

Technology, Taiwan)

The News Impact around the Earnings Announcement with the Incorporation of

Investor Types and Market Trends (10461)



Taiwan)

Jyun-Ming Ke (National Kaohsiung First University of Science and Technology,

Taiwan)

Discussant: Emir Hrnjic (National University of Singapore, Singapore)

Investor Sentiment and Seasoned Equity Offerings (10409)

Xiaoying Deng (National University of Singapore, Singapore)

Emir Hrnjic (National University of Singapore, Singapore)

Seow Eng Ong (National University of Singapore, Singapore)

Discussant: Yu-Chen Wei (National Kaohsiung First University of Science and

Technology, Taiwan)

VF 109


VF

SPECIAL FORUM

全球氣候巨變與新型產業創新 (Chinese)

15:30-17:10

Auditorium

(10/F)


Session 11 CORPORATE FINANCE AND BANKING

Chair: Ramesh P. Rao, Oklahoma State University

Are Bank Capital Buffers Cyclical – Evidence for Developed and Developing

Countries (10316)

Yi-Kai Chen (National University of Kaohsiung, Taiwan)

Ching-Lan Hsu (National University of Kaohsiung, Taiwan)

Discussant: Bang Nam Jeon (Drexel University, USA)

The role of foreign banks in monetary policy transmission: Evidence from Asia

during the crisis of 2008-9 (10326)

VF 105

Bang Nam Jeon (Drexel University, USA)

Ji Wu (Penn State University, USA)

Discussant: Jo-Ann Suchard (University of New South Wales, Australia)

Do Private Equity Sponsors Manage Earnings: Evidence from across the LBO Life

Cycle (10285)

Jo-Ann Suchard (University of New South Wales, Australia)

Discussant: Yi-Kai Chen (National University of Kaohsiung, Taiwan)

Session 12 INTERNATIONAL FINANCE

Chair: Peter Miu, McMaster University

National Culture and Corporate Cash Holdings around the World

Madhu Veeraraghavan (Monish University, Australia)

Discussant: Vigdis W Boasson (Central Michigan University, USA)

The Impact of the Sub-prime Crisis on the Financial Performance of Investment and

Commercial Banks : An International Perspective (10128)


Hao Fang (Hwa Hsia Institute of Technology, Taiwan)

Shu-Lien Chang (Ming Chuan University, Taiwan)

Discussant: Chao-Liang Chen (Tamkang University, Taiwan)

International Variation in the Benefits of Feasible Diversification Strategies (10091)

Wan-Jiun Paul Chiouv (Shippensburg University, USA)

Vigdis W Boasson (Central Michigan University, USA)

Discussant: Hao Fang (Hwa Hsia Institute of Technology, Taiwan)

The Guarantee on an IPA with a Death Benefit and a Reset Feature (10126)

Chao-Liang Chen (Tamkang University, Taiwan)

Discussant: Madhu Veeraraghavan (Monish University, Australia)

VF 110


Chair: Xingguo Luo, The University of Hong Kong

Informational Content of Option Trading on Acquirer Announcement Return

(10206)

Konan Chan (National Chengchi University, Taiwan)

Li Ge (The University of Hong Kong, Hong Kong)

Tse-Chun Lin (The University of Hong Kong, Hong Kong)

Discussant: Shaojun Zhang (Hong Kong Polytechnic University, Hong Kong)

Stocks Added to or Deleted from the S&P 500 Index: A Comprehensive Long Term

Analysis (10057)

Hung Wan Kot (Hong Kong Baptist University, Hong Kong)

Gordon Y.N. Tang (Hong Kong Baptist University, Hong Kong)

Discussant: Li Ge (The University of Hong Kong, Hong Kong)

Quality of PIN Estimates and the PIN-Return Relationship (10292)

Yuxing Yan (Loyola University Maryland, USA)

Shaojun Zhang (Hong Kong Polytechnic University, Hong Kong)

Discussant: Hung Wan Kot (Hong Kong Baptist University, Hong Kong)

VF 101

Session 14 HKUST Sponsored Special Session for Doctoral Students and Junior

Faculty Members

VF 102

Can Hedge Funds Time Market Liquidity?

Charles Cao, Penn State University, USA

Yong Chen, Virginia Tech, USA

Bing Liang, University of Massachusetts Amherst, USA

Andrew W. Lo, MIT Sloan School of Management, USA

Liquidity Preference and Cross-Sectional Turnover Persistence

Sheng-Syan Chen, National Taiwan University, Taiwan

Ji-Chai Lin, Louisiana State University, USA

Xuan-Qi Su, National Kaohsiung First University of Science and Technology,

Taiwan

Chin-Te Yu, National Taiwan University, Taiwan

Runs on Money Market Mutual Funds

Russ Wermers, University of Maryland, USA

Session 15 STOCK REPURCHASES

Chair: Victor Wei Huang, University of Hawaii

Stock Repurchases in Japan (10143)

Jiao Tong (Nanzan University, Japan)

Katsushi Suzuki (Kobe University, Japan)

Hideaki Kiyoshi Kato (Nagoya University, Japan)

Marc Bremer (Nanzan University, Japan)

Discussant: Woan-lih Liang (Yuan Ze University, Taiwan)

Managerial Entrenchment and Open-Market Share Repurchases: The Case of

Taiwan (10035)

Ruei-Shian Wu (Yuan Ze University, Taiwan)

Discussant: Jen Chang Liu (Takming University of Science and Technology,

Taiwan)

Earnings Management and Stock Performance Following Accelerated Share

Repurchases (10205)

Woan-lih Liang (Yuan Ze University, Taiwan)

Yung-Chin Chiu (Yuan Ze University, Taiwan)

Discussant: Ruei-Shian Wu (Yuan Ze University, Taiwan)

Payout Policy in Taiwan: Cash Dividends, Stock Repurchases and Capital

Reduction (10216)

Jen Chang Liu (Takming University of Science and Technology, Taiwan)

Chau Chen Yang (National Taiwan University, Taiwan)

Jr Jung Chiou (Vanung University, Taiwan)

Discussant: Jiao Tong (Nanzan University, Japan)

VF 106

Session 16 POLITIAL CONNECTIONS

Chair: Pin-Huang Chou, National Central University

The Value of Political Connections when Accessing the IPO Market (10448)

Qigui Liu (University of Wollongong, Australia)

Jinghua Tang (University of Wollongong, Australia)

Gary Gang Tian (University of Wollongong, Australia)

Discussant: Jing Shi (The Australian National University, Australia)

Political Connections, Founder-managers, and Their Impact on Tunneling in

China's listed firms (10453)

Liangbo Ma (University of Wollongong, Australia)

Shiguang Ma (University of Wollongong, Australia)

VF 107

Gary Tian (University of Wollongong, Australia)

Discussant: Ming-Hsien Ethan Hsueh (National Cheng-Kung University, Taiwan)

Does Market Transition Eclipse the Significance of Political Connections? A

Longitudinal Study of Publicly Listed Firms in China (10370)

Nan Jia (University of Southern California, USA)

Jing Shi (The Australian National University, Australia)

Yongxiang Wang (University of Southern California, USA)

Discussant: Gary Tian (University of Wollongong, Australia)

Does Internal Capital Market Efficiency Affect Earnings Management of Diversified

Firms? (10402)

Ming-Hsien Ethan Hsueh (National Cheng-Kung University, Taiwan)

Discussant: Gary Gang Tian (University of Wollongong, Australia)


Chair: Rosita P. Chang, University of Hawaii

Acquisitions as a Driver of Value-Creating Innovation (10020)

Mark Humphery-Jenner (University of New South Wales, Australia and Tilburg

University, Netherlands)

Discussant: Zhe An (University of New South Wales, Australia)

Timing or Targeting: the Asymmetric Motives of Capital Structure Decisions

(10157)

Islam Abdeljawad (Universiti Kebangsaan Malaysia, Malaysia)

Fauzias Mat Nor (Universiti Kebangsaan Malaysia, Malaysia)

Discussant: Nhan Le (University of Colorado, USA)

Crash Risk, Corporate Reporting Environment, and Speed of Leverage adjustment

(10250)

Zhe An (University of New South Wales, Australia)

Donghui Li (University of New South Wales, Australia)

Jin Yu (University of New South Wales, Australia)

Discussant: Fauzias Mat Nor (Universiti Kebangsaan Malaysia, Malaysia)

Do Large Cash Holdings Help or Hinder Firms’ Performance Recovery? (10336)

Nhan Le (University of Colorado, USA)

Discussant: Mark Humphery-Jenner (University of New South Wales, Australia and

Tilburg University, Netherlands)

VF 103

Session 18 BANKING ISSUES

Chair: Fauzias Mat Nor, Universiti Kebangsaan Malaysia

Detrimental Effects of Retention Regulation: Incentives for Loan Screening in

Securitization under Asymmetric Information (10044)

Masazumi Hattori (Hitotsubashi University, Japan)

Kazuhiko Ohashi (Hitotsubashi University, Japan)

Discussant: Tram Vu (Monash University, Australia)

The Bright Side of Lending by State Owned Banks: Evidence from Japan (10153)

Yupeng Lin (National University of Singapore, Singapore)


Takeshi Yamada (National University of Singapore, Singapore and University of

Adelaide, Australia)

Discussant: Mary L.Z. Ma (Xiamen University, China)

Earnings Smoothing and Systemic Risk in the Banking Industry (10341)

Li Li (University of International Business and Economics, China)

VF 104

Mary L.Z. Ma (Xiamen University, China)

Feng Wu (University of Macau, Macau)

Discussant: Kazuhiko Ohashi (Hitotsubashi University, Japan)

Australian Syndicated Loans: Domestic and International Banks (10058)

Tram Vu (Monash University, Australia.)

Viet Do (Monash University, Australia)

Michael Skully (Monash University, Australia)

Discussant: Takeshi Yamada (National University of Singapore, Singapore and

University of Adelaide, Australia)


Chair: Chun-Hung Lin, Tamkang University, Taiwan

Informed Trading and Stock Splits (10214)

Konan Chan (University of Hong Kong, Hong Kong)

Tse-Chun Lin (University of Hong Kong, Hong Kong)

Fengfei Li (University of Hong Kong, Hong Kong)

Discussant: Yu-Chen Wei (National Kaohsiung First University of Science and

Technology, Taiwan)

Stealth Trading, Price Manipulation and Investor Types in Taiwan (10276)



Taiwan)

Discussant: Yin-Feng Gau (National Central University, Taiwan)

The Informational Role of Order Flow in Foreign Currency Futures and Spot

Markets (10105)

Yu-Lun Chen (Chung Yuan Christian University, Taiwan)

Yin-Feng Gau (National Central University, Taiwan)

Discussant: Konan Chan (University of Hong Kong, Hong Kong)

VF 108

Session 20

VF 109

WELCOME RECEPTION 18:30-21:00

Int’l Reception

Hall (VF)

SUNDAY JULY 8, 2012

SPECIAL FORUM

兩岸金融市場發展/兩岸資本市場改革 (Chinese)

09:00-10:40

Int’l Reception

Hall (VF)


Session 21 ISSUES RELATED TO CORPORATE BOARD

Chair: Jr-Hung Lee, National Chengchi University

Do Older Boards Affect Firm Performance? An Empirical Analysis Based on

Japanese Firms (10269)

VF 105

http://www.tku.edu.tw/

Makoto Nakano (Hitotsubashi University, Japan)

Pascal Nguyen (University of Technology Sydney, Australia)

Discussant: Adrian C.H. Lei (University of Macau, Macau)

Do Directors Get 'Sick' of Attending Meetings? (10098)

Stephen Gray (University of Queensland, Australia)

Nowland John Edward (City University of Hong Kong, Hong Kong)


Do Multiple Directorships Signal Quality? Evidence from Independent Directors

(10179)

Adrian C.H. Lei (University of Macau, Macau)

Jie Deng (University of Macau, Macau)

Discussant: Nowland John Edward (City University of Hong Kong, Hong Kong)

The Two-Sided Career Concerns of Independent Directors: Evidence from Director

Voting (10273)

Wei Jiang (Columbia University, USA)

Hualin Wan (Lixin School, China)


Discussant: Makoto Nakano (Hitotsubashi University, Japan)

Session 22 FINANCIAL INSTITUTIONS 1

Chair: Hung Wan Kot, Hong Kong Baptist University

Loan Market Competition and Bank Stability - A Re-examination of Banking

Competition and Risk Taking (10314)

Li-Hsuan Lee (National Chengchi University, Taiwan)

Yeong-Yuh Chiang (Chinese Culture University, Taiwan)

Discussants: Anand Srinivasan (National University of Singapore, Singapore)

International Investigation on Foreign Bank’s Post-Entry Performance—The

Differential Impact of Entry Mode Choice (10345)

Sheng-Hung Chen (Nanhua University, Taiwan)

Peng-Wen Chen (Nanhua University, Taiwan)

Discussants: Chaoqun Ma (Hunan University, China)

Creditor Monitoring versus shareholder monitoring: Evidence from bank financing

of Mergers and Acquisitions (10447)

Ruichang Lu (National University of Singapore, Singapore)

Huang Sheng (National University of Singapore, Singapore)


Discussants: Sheng-Hung Chen (Nanhua University, Taiwan)

Efficiency evaluation of China's state-owned banks by DEA window analysis

Chaoqun Ma (Hunan University, China)

Man Ding (Hunan University, China)

Discussants: Li-Hsuan Lee (National Chengchi University, Taiwan)

VF 110


Chair: Howard Chan, The University of Melbourne

Does Leverage Matter? (10180)

Robert Durand (Curtin University, Australia)

Subhrendu Rath (Curtin University, Australia)

Discussant: Vivian W. Tai (National Chi Nan University, Taiwan)

The Market Premium for Dynamic Tail Risk (10263)

Loran Chollete (National Chengchi University, Taiwan)

VF 101

Ching-Chih Lu (National Chengchi University, Taiwan)

Discussant: Tze Chuan ANG (The University of Melbourne, Australia)

Financial Distress, Investment Risk and Hedging Behavior (10138)

Lai, Yi-Hsun (National Yunlin University of Science and Technology, Taiwan)

Lin Lin (National Chi Nan University, Taiwan)

Vivian W. Tai (National Chi Nan University, Taiwan)

Discussant: Ching-Chih Lu (National Chengchi University, Taiwan)

Understanding the Distress Puzzle: Surprises in the Pre-Delisting Period (10114)

Tze Chuan ANG (The University of Melbourne, Australia)

Discussant: Robert Durand (Curtin University, Australia)

Session 24 Elsevier Special Session – How to Get Your Article Published in

Elsevier Journals?

Jagna Mirska-Gent, Publisher, Finance Journals, Elsevier (The Netherlands)

S. Ghon Rhee (Editor, Pacific-Basin Finance Journal) (The University of Hawaii,

USA)

VF 102

Session 25 ALTERNATIVE INVESTMENTS

Chair: F.Y. Eric C. Lam, City University of Hong Kong

Correlation in Commodity Futures and Equity Markets around the World: Long-run

Trend and Short-run Fluctuation (10071)

Xiao-Ming Li (Massey University, New Zealand)

Bing Zhang (Nanjing University, China)

Zhijie Du (Fonterra Co-operative Group Limited)

Discussant: Fangjhy Li (Hsing Kuo University of Management, Taiwan)

Commodity Futures Prices: More Evidence on Forecast Power, Risk Premia and the

Theory of Storage (10332)

Chris Brooks (University of Reading - ICMA Centre, UK)

Marcel Prokopczuk (University of Reading - ICMA Centre, UK)

Yingying Wu (University of Reading - ICMA Centre, UK)

Discussant: Junesuh Yi (Dongguk University, Seoul, Korea)

Volatility Relationship in Exchange Rate and Commodity Prices – An Empirical

Study in Taiwan (10077)

Sheng-Pen Peng (National Kaohsiung First University of Science and Technology,

Taiwan)

Fangjhy Li (Hsing Kuo University of Management, Taiwan)

Alex YiHou Huang (Yuan Ze University, Taiwan)

Discussant: Yingying Wu (University of Reading - ICMA Centre, UK)

Performance Persistence and Flow Restrictions in Hedge Funds (10331)

Junesuh Yi (Dongguk University, Seoul, Korea)

Kee-Hong Bae (York University, Canada)

Discussant: Xiao-Ming Li (Massey University, New Zealand)

VF 106

Session 26 CORPORATE FINANCE AND INVESTMENT IN CHINA 1

Chair: Wilson Li, United International College

Political Connections and Board Chair Compensation: Evidence from China

(10221)

Shujun Ding (University of Ottawa, Canada)

Chunxin Jia (Peking University, China)

Craig Wilson (University of Saskatchewan, Canada)

VF 107

Zhenyu Wu (University of Manitoba, Canada)

Discussant: Anna Vong Pou Iu (University of Macau, China)

Political Capital vs. Constraint: Evidence of CEO Entrenchment in Chinese Private

Firms (10065)

Michael Lemmon (University of Utah, USA)

Xiaofei Pan (University of Wollongong, Australia)

Meijun Qian (National University of Singapore, Singapore)

Gary Tian (University of Wollongong, Australia)

Discussant: Chyi-Lun Chiou (Fu Jen Catholic University, Taiwan)

Lessons from the Chinese Privatization Process: Reversal in Investors’ Perception

of the Relative Value of State and Legal Person owned Companies during the Split

Share Structure Reform (10260)

Anna Vong Pou Iu (University of Macau, China)

Duarte Trigueiros (ADETTI-IUL University Institute of Lisbon and University of

Algarve, Portugal)

Discussant: Xiaofei Pan (University of Wollongong, Australia)

Foreign Direct Investment in Emerging Markets: Bondholders’ Perspective (10359)

Chyi-Lun Chiou (Fu Jen Catholic University, Taiwan)

Mao-Wei Hung (National Taiwan University, Taiwan)

Pei-Gi Shu (Fu Jen Catholic University)

Discussant: Zhenyu Wu (University of Manitoba, Canada)


Chair: David Ding, Massey University

Do Macroeconomic Factors Influence Board Composition Decisions? Evidence

from China (10170)

Jing Liao (Massey University, New Zealand)

Martin Young (Massey University, New Zealand)

Discussant: Robert G Bowman (University of Auckland and University of

Queensland, Australia)

Does the Relationship between the Controlling Shareholder and Other Large

Shareholders Affect the Firm Value? (10363)

Minying Cheng (Sun Yat-Sen University, China)

Bingxuan Lin (University of Rhode Island, USA)

Minghai Wei (Sun Yat-Sen University, China)

Discussant: Po-Hsin Ho (National United University, Taiwan)

The Positive Impact of Corporate Governance on Foreign Equity Ownership:

Evidence from Korea (10050)

Byung Min (Griffith University, Australia)

Robert G Bowman (University of Auckland and University of Queensland,

Australia)

Discussant: George Wong (The Hong Kong Polytechnic University, Hong Kong)

CEO Overconfidence and the Long-Term Performance Following R&D Increases

(10298)

Sheng-Syan Chen (National Taiwan University, Taiwan)

Keng-Yu Ho (National Taiwan University, Taiwan)

Po-Hsin Ho (National United University, Taiwan)

Discussant: Jing Liao (Massey University, New Zealand)

How Do Firms Allocate Internal Cash Flow? The Effect of Misvaluation and Costly

External Financing (10433)

Xin Chang (Nanyang Technological University, Singapore)

VF 103

Sudipto Dasgupta (Hong Kong University of Science and Technology, Hong Kong)

George Wong (The Hong Kong Polytechnic University, Hong Kong)

Discussant: Bingxuan Lin (University of Rhode Island, USA)

Session 28 ACCOUNTING AND CAPITAL MARKETS 1

Chair: Woan-lih Liang

Earnings Downside Risk (10309)

Yan Luo (Fudan University, China)

Mary L. Z. Ma (Xiamen University, China)

Feng Wu (University of Macau, China)

Discussant: Sue-Jane Chiang (Fu Jen Catholic University, Taiwan)

An Analysis of Stock Returns and Aggregate Earnings (10162)

Yunhao Chen (Florida International University, USA)

Xiaoquan Jiang (Florida International University, USA)

Bong-Soo Lee (FSU)

Discussant: Mary L. Z. Ma (Xiamen University, China)

Why Are Seasoned Equity Overvalue? An Alternative Perspective from Firm Size,

Timing and Earnings Management (10258)

Pei-Gi Shu (Fu Jen Catholic University, Taiwan)

Sue-Jane Chiang (Fu Jen Catholic University, Taiwan)

Discussant: Xiaoquan Jiang (Florida International University, USA)

VF 104


Chair: Chandrasekhar Krishnamurti, University of Southern Queensland

Speed of Convergence to Market Efficiency: The Role of ECNs (10028)

Karel Hrazdil (Simon Fraser University, Canada)

Dennis Y. Chung (Simon Fraser University, Canada)

Discussant: Robin K. Chou (National Chengchi University, Taiwan)

Market Efficiency and Foreign Institutional Trading: Evidence from Taiwan

(10450)

Robin K. Chou (National Chengchi University, Taiwan)


Pei-Shih Weng (National Central University, Taiwan)

Discussant: Karel Hrazdil (Simon Fraser University, Canada)

What Affects the Cool-off Duration under Price Limits (10151)

Pin-Huang Chou (National Central University, Taiwan)


Kuan-Cheng Ko (National Chi Nan University, Taiwan)

Discussant: Jeongwoo Shin (KAIST Business School, Korea)

The Role of High Frequency Traders in Electronic Limit Order Markets (10109)

Jangkoo Kang (KAIST Business School, Korea)

Jeongwoo Shin (KAIST Business School, Korea)

Discussant: Pin-Huang Chou (National Central University, Taiwan)

VF 108

Session 30

VF 109


VF

SPECIAL FORUM

The Mode for Creating a Currency Union in the Asian Zone

10:50-12:30

Int’l Reception

Hall (VF)


Session 31 BEHAVIORAL FINANCE 1

Chair: Sudeep Ghosh, Hong Kong Polytechnic University

U.S. and Domestic Market Gains and Asian Investors’ Overconfident Trading

Behavior (10239)

Wen-I Chuang (National Taiwan University, Taiwan)

Bong-Soo Lee (Florida State University, USA)

Kai-Li Wang (Tunghai University, Taiwan)

Discussant: Hao Fang (Hwa Hsia Institute of Technology, Taiwan)

The Role of Surprise: Understanding Over- and Underreactions Using In-Play

Soccer Betting (10268)

Sam K. Hui (New York University Leonard N. Stern School of Business, USA)

Darwin Choi (Hong Kong University of Science and Technology, Hong Kong)

Discussant: Gunnar Lang (Centre for European Economic Research)

UK Fund Manager Cascading and Herding Behavior: New Evidence from the Stock

Market (10476)



Discussant: Wei-Yu Kuo (National Chengchi University, Taiwan)

How Does the Domiciliation Decision Affect Mutual Fund Fees? (10064)

Gunnar Lang (Centre for European Economic Research)

Matthias Koehler (Deutsche Bundesbank, Germany)

Discussant: Wen-I Chuang (National Taiwan University, Taiwan)

Does cognitive limitation affect investor behavior and performance? Evidence from

limit order clustering (10209)

Wei-Yu Kuo (National Chengchi University, Taiwan)

Tse-Chun Lin (National Chengchi University, Taiwan)

Jing Zhao (University of Hong Kong, Hong Kong)

Discussant: Darwin Choi (Hong Kong University of Science and Technology, Hong

Kong)

VF 105


Chair: 林修葳 Hsiou-wei Lin, National Taiwan University

Buy-Side Participation and Information Production in Earnings Conference Calls

(10369)

Ling Cen (University of Toronto, Canada)

Sudipto Dasgupta (HKUST, Hong Kong)

Vanitha Ragunathan (University of Queensland, Australia)

Discussant: Hsin-Yu Liang (Feng Chia University, Taiwan)

Management Forecasts or Earnings Announcements: Which Information Do

Institutional Investors Trade Based on? (10426)

Yan-Leung Cheung (Hong Kong Baptist University, Hong Kong)

Kun Jiang (Hong Kong University of Science and Technology, Hong Kong)

Weiqiang Tan (Hong Kong Baptist University, Hong Kong)

Tusheng Xiao (Shanghai University of Finance and Economics, China)

VF 110

Discussant: Eakapat Manitkajornkit (Mahidol University, Thailand)

Bancassurance Markets in China: Some evidence from European Banks (10145)

Hsin-Yu Liang (Feng Chia University, Taiwan)

Yann Peng Ching (Feng Chia University, Taiwan)

Discussant: Weiqiang Tan (Hong Kong Baptist University, Hong Kong)

On the Informativeness of Credit Watch Placements (10451)

Chiraphol N. Chiyachantana (Singapore Management University, Singapore)

Eakapat Manitkajornkit (Mahidol University, Thailand)

Nareerat Taechapiroontong (Mahidol University, Thailand)

Discussant: Ling Cen (University of Toronto, Canada)


Chair: Robert Durand, Curtin University, Australia

Empirical test on the Liquidity-adjusted Capital Asset Pricing Model: Australian

Evidence (10085)

Van Vu (Monash University, Australia)

Daniel Chai (Monash University, Australia)

Viet Do (Monash University, Australia)

Discussant: Xingguo LUO (The University of Hong Kong, Hong Kong)

What Drives the Turnover Premium? (10150)

Chun-Yi Chao (National Central University, Taiwan)

Pin-Huang Chou (National Central University, Taiwan)

Tsung-Yu Huang (National Central University, Taiwan)

Hung-Jeh Yang (National Central University, Taiwan)

Discussant: Yihui LAN (The University of Western Australia, Australia)

Expected Stock Returns and Forward Variance (10304)

Xingguo LUO (The University of Hong Kong, Hong Kong)

Jin E. Zhang (The University of Hong Kong, Hong Kong)

Discussant: Pin-Huang Chou (National Central University, Taiwan)

A Test of Co-Skewness and Co-kurtosis: The Relevance of Size, Book to Market and

Momentum in Asset Pricing (10312)

Richard Heaney (The University of Western Australia, Australia)

Yihui LAN (The University of Western Australia, Australia)

Sirimon Treeponkaruna (The University of Western Australia, Australia)

Discussant: Viet Do (Monash University, Australia)

VF 101

Session 34 NTU Sponsored Special Session for Doctoral Students and Junior

Faculty Members

Information Risk Factors and Momentum Anomalies

Chuan Yang Hwang, Nanyang Technological University, Singapore

Xiaolin Qian, University of Macau, China

Corporate Governance and Insider Trading

Lili Dai, Erasmus University, Rotterdam, Netherlands

Renhui Fu, Erasmus University, Rotterdam, Netherlands

Jun-Koo Kang, Nanyang Technological University, Singapore

Inmoo Lee, Korea Advanced Institute of Science and Technology, Korea

VF 102

Jump Intensities, Jump Sizes, and the Relative Stock Price Level

Gang Li, Hong Kong Baptist University, Hong Kong

Chu Zhang, The Hong Kong University of Science and Technology, Hong Kong

Session 35 ANOMALIES AND EMPIRICAL REGULARITIES

Chair: Madhu Veeraraghavan, Monash University, Australia

Credit Rating Anomaly in Taiwan Stock Market (10173)

Kuan-Cheng Ko (National Chi Nan University, Taiwan)

Shinn-Juh Lin (National Chengchi University, Taiwan)

Hsiang-Hui Chu (National Chi Nan University, Taiwan)

Hsiao-Wei Ho (National Central University, Taiwan)

Discussant: F.Y. Eric C. Lam (City University of Hong Kong, Hong Kong)

Are Empirical Regularities Explained by Macroeconomic Risk? Evidence from

Australia (10045)

Paul Docherty (The University of Newcastle, Australia)

Howard Chan (The University of Melbourne, Australia)

Steve Easton (The University of Newcastle, Australia)

Discussant: Qianqiu Liu (University of Hawaii, USA)

Asset Growth Reversals and Investment Anomalies (10358)

F.Y. Eric C. Lam (City University of Hong Kong, Hong Kong)

K.C. John Wei (Hong Kong University of Science and Technology, Hong Kong)

Discussant: Howard Chan (The University of Melbourne, Australia)

Institutional Investors and Short-Term Return Reversals (10427)

Qianqiu Liu (University of Hawaii, USA)

Ghon Rhee (University of Hawaii, USA)

Hong Vo (University of Hawaii, USA)

Discussant: Kuan-Cheng Ko (National Chi Nan University, Taiwan)

VF 106

Session 36 CORPORATE FINANCE AND INVESTMENT IN CHINA 2

Chair: Zhenyu Wu, University of Saskatchewan

Do the Common Characteristics Exist for the M&A Target Enterprises Listed in the

Chinese Stock Market? (10119)

Chiun-Jung Lin (Beijing Jiaotong University, China)

William S. Chang (Ming Chuan University, Taiwan)

Yang-Cheng, Lu (Ming Chuan University, Taiwan)

Discussant: Ping Wang (Birmingham University, UK)

Legal Systems, Regulatory Requirements, Foreign Investors and Stock Price

Synchronicity: Evidence from China (10099)

Tina Ting He (United International College, Hong Kong)

Wilson Li (United International College, Kong Kong)

Gordon Y.N. Tang (Hong Kong Baptist University, Hong Kong)

Discussant: Chi-Yih Yang (Economics and Management, Xi’an Jiaotong-Liverpool

University, China)

Simultaneity of Corporate Decisions: Evidence from a Panel of Listed Chinese

Firms (10286)

Ping Wang (Birmingham University, UK)

Discussant: Wilson Li (United International College, Kong Kong)

The Survival of Initial Public Offerings in China (10319)

Chi-Yih Yang (Economics and Management, Xi’an Jiaotong-Liverpool University,

China)

Xiaoming Ding (Economics and Management, Xi’an Jiaotong-Liverpool University,

VF 107

China)

Discussant: Chiun-Jung Lin (Beijing Jiaotong University, China)


Chair: Kentaro Iwatsubo, Kobe University

The Effect of Ownership Structure and Government Ownership on the Initial Return

and Post-Listing Liquidity of IPO Stocks: Empirical Evidence from Bursa Malaysia

(10217)

Roslily Ramlee (International Islamic University Malaysia, Malaysia)

Ruhani Ali (University Sains Malaysia, Malaysia)

Discussant: Kiseok Nam (Yeshiva University, USA)

Economic Transition and the Value of Business Group Affiliation: Evidence from

the Indian Market (10158)

Narahari Hansoge (Indian Institute of Management, Bangalore (IIMB), India)

Vijaya B. Marisetty (RMIT University, Australia)

Discussant: Chia-wei Chen (Tunghai University, Taiwan)

The Impact of Informed Trade on Firm-Specific Return Variation (10226)

Moonsoo Kang (Iona College, USA)

Kiseok Nam (Yeshiva University, USA)

Discussant: Narahari Hansoge (Indian Institute of Management, Bangalore (IIMB),

India)

Directors and Officers’ Liability Insurance and Managerial Compensation (10052)

Chia-wei Chen (Tunghai University, Taiwan)

J. Barry Lin (Simmons College, USA)

Bingsheng Yi (California State University - Dominguez Hills, USA)

Discussant: Ruhani Ali (University Sains Malaysia, Malaysia)

VF 103

Session 38 ACCOUNTING AND CAPITAL MARKETS 2

Chair: Sue-Jane Chiang, Fu Jen Catholic University

Conditional Conservatism and the Cost of Equity Capital: Informational,

Fundamental, and Behavioral Effects (10311)

Gary C. Biddle (University of Hong Kong, Hong Kong)

Mary L. Z. Ma (Xiamen University, China)

Feng Wu (University of Macau, China)

Discussant: Xiaoquan Jiang (Florida International University, USA)

The Aggregate Earnings-Return Relationship: A Global Perspective (10163)


Andrew Vivian (Loughborough University, UK)

Discussant: Yue-Cheong Chan (Hong Kong Polytechnic University, Hong Kong)

Do Firms’ Environmental, Social, and Governance Performances Matter? (10096)

Jacquelyn Humphrey (Australian National University, Australia)

Darren Lee (University of Queensland, Australia)

Discussant: Mary L. Z. Ma (Xiamen University, China)

Stock Price Synchronicity, Analyst Coverage and Pricing of Seasoned Equity

Offerings (10261)

Yue-Cheong Chan (Hong Kong Polytechnic University, Hong Kong)

Kalok Chan (Hong Kong University of Science and Technology, Hong Kong)

Discussant: Jacquelyn Humphrey (Australian National University, Australia)

VF 104


Chair: Keiich Kubota, Chuo University

Trading Volume and Information Asymmetry Surrounding Announcements:

Australian Evidence (10088)

Wei Chi (Monash University, Australia)

Xueli Tang (Deakin University, Australia)

Xinwei Zheng ( Deakin University, Australia)

Discussant: Yang (Kevin) Sun (PhD student, University of South Australia,

Australia)

Liquidity, Market Returns, and Foreign Institutional Trading (10459)



Pei-Shih Weng (National Central University, Taiwan)

Discussant: Wei Chi (Monash University, Australia)

Pre-trade Transparency and the Information Content of the Limit-Order Book

(10458)

Yang (Kevin) Sun (PhD student, University of South Australia, Australia)

Discussant: Keng-Yu Ho (National Taiwan University, Taiwan)

VF 108

Session 40 INTERNATIONAL FINANCE

Chair: Yen, Simon H., National Chengchi University

The Long-Run Cointegration of AUD, CAD, GBP and JPY (10109)

Janikan Supanvanij (St. Cloud State University, USA)

Discussant: Sazali Abidin (The University of Waikato, New Zealand)

Bayesian Inference for Leverage Stochastic Volatility Models using FX Rates

(10115)

Wantanee Surapaitoolkorn (Chulalongkorn University, Thailand)

Discussant: Konari Uchida (Kyushu University, Japan)

International Diversification a Small Equity Market Perspective (10122)

Gupta, R. (Griffith University, Australia)

Lin, S. L. (National Taipei University of Technology, Taiwan)

Discussant: Janikan Supanvanij (St. Cloud State University, USA)

Intensity of Price and Volatility Spillover Effects: Evidence from Asia-Pacific Basin

(10128)

Sazali Abidin (The University of Waikato, New Zealand)

Krishna Reddy (The University of Waikato, New Zealand)

Chun Zhang (The University of Waikato, New Zealand)

Discussant: Wantanee Surapaitoolkorn (Chulalongkorn University, Thailand)

Do stock option grants induce managerial risk taking? Evidence from Japan

(10136)

Hiroshi Moriyasu (Nagasaki University, Japan)

Konari Uchida (Kyushu University, Japan)

Discussant: Gupta, R. (Griffith University Australia)

VF 109

LUNCH

Lunch and Asian FA Annual General Meeting

12:30-14:00

Ji Shiang Room

(BF)

KEYNOTE SPEECH

Topic: Managerial Monitoring, Incentives and Tournaments

Professor Laura Starks (University of Texas at Austin, USA)

Introduced by Pin-Huang Chou (National Central University, Taiwan)

14:00-15:00

Int’l Reception

Hall (VF)


Session 41 BEHAVIORAL FINANCE 2

Chair: Darwin Choi, Hong Kong University of Science and Technology

Causes and Impacts of Foreign Institutional Investors' Herding in the Taiwan Stock

Market (10127)



Discussant: Weiyu Kuo (The University of Hong Kong, Hong Kong)

Noise Trading Risks in an Exchange where Retail Investors are Dominant (10284)

Tanachote Boonvorachote (Kasetsart University, Thailand)

Discussant: Sheng-Tang Huang (Nanya Institute of Technology, Taiwan)

Overconfident Individual Day Traders: Evidence from Taiwan Futures Market

(10212)

Weiyu Kuo (The University of Hong Kong, Hong Kong)


Discussant: Xiaolin Qian (University of Macau, China)

Can Institutional and Individual Trading Drive Value and Size Premiums: Evidence

from Japan? (10097)

Weifeng Hung (Feng Chia University, Taiwan)

Sheng-Tang Huang (Nanya Institute of Technology, Taiwan)

Chia-Chi Lu (National Central University)

Cheng F. Lee (Rutgers University, USA)

Discussant: Yang-Cheng Lu (Ming Chuan University, Taiwan)

Optimistic Small Investors and Stock Overvaluation (10122)

Chuan-Yang Hwang (Nanyang Technological University, Singapore)

Xiaolin Qian (University of Macau, China)

Discussant: Tanachote Boonvorachote (Kasetsart University, Thailand)

VF 105


Chair: Qianqiu Liu, University of Hawaii

Risk and Return of Illiquid investments: A Trade-off for Superannuation Funds

Offering Transferable Accounts (10223)

James Richard Cummings (Australian Prudential Regulation Authority, Australia)

Katrina Ellis (Australian Prudential Regulation Authority, Australia)

Discussant: Whuei Wen Lai (National Taiwan Normal University, Taiwan)

Does Syndicate Pressure Affect Analysts’ Incentive to Produce Information?

Evidence from Recommended Firms’ Securities Class Action Lawsuits (10246)

Connie X. Mao (Temple University, USA)

Wei-Ling Song (Louisiana State University, USA)

Discussant: Ching Tang Huang (Ming Chuan University, Taiwan)

Fund Selection and Investor Externality in Target Date Funds (10325)

Sherry Chan (Yuan Ze University, Taiwan)

Hsuan-Chi Chen (University of New Mexico, USA)

VF 110

Yu-Sheng Jiang (Yuan Ze University, Taiwan)

Whuei Wen Lai (National Taiwan Normal University, Taiwan)

Discussant: Re-Jin Guo (University of Illinois, Chicago, USA)

The Analysis of Critical Success Factors of Venture Capital Firms to Assess The

Cultural And Creative Industries (10465)

Ching Tang Huang (Commerce Development Research Institute, Taiwan)


Jen Chih Cheng (Ming Chuan University, Taiwan)

Discussant: James Richard Cummings (Australian Prudential Regulation Authority,

Australia)

Session 43

VF 101

Session 44 ISB Sponsored Special Session for Doctoral Students and Junior

Faculty Members

On the Hansen-Jagannathan Distance with a No-Arbitrage Constraint

Nikolay Gospodinov, Concordia University, Canada

Raymond Kan, University of Toronto, Canada

Cesare Robotti, Federal Reserve Bank of Atlanta and EDHEC Risk Institute

Frequent-but-Small and Infrequent-but-Large Return Asymmetries in International

Equity Markets

Bruno Solnik, The Hong Kong University of Science and Technology, Hong Kong

Thaisiri Watewai, Chulalongkorn University, Thailand

Are Positive Feedback Investors Successful in Creating Bubbles at the Expense of

Rational Traders? How Foreign Investors Created the Nokia Bubble and Profited

from It.

Peter Swan, The University of New South Wales, Australia

Joakim Westerholm, University of Sydney, Australia

VF 102

Session 45

VF 106

Session 46 INVESTMENT FUNDS 1

Chair: Takeshi Yamada, University of Adelaide

Unmapped Holdings and The Performance Measurement of U.S. Equity Mutual

Funds (10469)

David Hunter (University of Hawaii at Manoa, USA)

Discussant: Vijaya Marisetty (RMIT University, Australia)

Are Hedge funds Exposed to Systematic Risk Factors? An Analysis of Hedge Fund

Strategy and Performance over Market Regimes (10051)

Carl R. Chen (University of Dayton, USA)

Ying Sophie Huang (Zhejiang University, China)

Isamu Kato (Nomura Fund Research and Technologies America)

Discussant: Ping Wei (Central South University, China)

The Impact of Capping Commissions: Evidence from a Natural Experiment in the

Indian Mutual Funds Market (10351)

VF 107

Santosh Anagol (University of Pennsylvania, USA)

Vijaya Marisetty (RMIT University, Australia)

Renuka Sane

Eshwar Venugopal (Monash University, Australia)

Discussant: Carl R. Chen (University of Dayton, USA)

Measuring Competition in the China Life Insurance Market (10457)

Ping Wei (Central South University, China)

Philip Hardwick (Bournemouth University, UK)

Li Yang (Central South University, China)

Discussant: David Hunter (University of Hawaii at Manoa, USA)


Chair: Gary Tian, University of Wollongong

Institutional Investor Horizons, Information Environment, and Financing (10195)


Yangyang Chen (Monash University, Australia)

Sudipto Dasgupta (Hong Kong University of Science and Technology, Hong Kong)

Discussant: Zhengyuan Wang (University of New South Wales, Australia)

Product Market Competition, Corporate Investment and Financing: Evidence from

Cash Flow Shortfall (10279)

Adrian (Wai Kong) Cheung (Curtin University, Australia)

Discussant: Louis T. W. Cheng (Hong Kong Polytechnic University, Hong Kong)

Macro Information Environments and the Abnormal Returns to Rival Firms of

Targets (10164)

Zhian Chen (University of New South Wales, Australia)

Donghui Li (University of New South Wales, Australia)

Zhengyuan Wang (University of New South Wales, Australia)

Steven Wei (Hong Kong Polytechnic University, Hong Kong)

Discussant: Adrian (Wai Kong) Cheung (Curtin University, Australia)

Information Arrival, Changes in R-square and Pricing Asymmetry of Corporate

News (10375)

Louis T. W. Cheng (Hong Kong Polytechnic University, Hong Kong)

T.Y. Leung (City University of Hong Kong, Hong Kong)

W. Yu (Hong Kong Polytechnic University, Hong Kong)

Discussants: Yangyang Chen (Monash University, Australia)

VF 103

Session 48 CREDIT RATINGS

Chair: Carl Chiarella, The University of Technology Sydney

The Impact of Credit Rating Announcements on Corporates' Credit Default Swap

Spreads --- Are There Intra-Industry Effects Observable? (10315)

Hans-Peter Burghof (University of Hohenheim, Germany)

Johannes Schneider (Catholic University of Eichstatt-Ingolstadt, Germany)

Andreas Wengner (University of Hohenheim, Germany)

Discussant: Robert Faff (The University of Queensland, Australia)

The Effects of Sovereign Credit Assessments on Equity and Currency Market Return

Distributions: Evidence from Past and Present Financial Crises (10070)

Robert Brooks (Monash University, Australia)

Robert Faff (The University of Queensland, Australia)

Sirimon Treepongkaruna (University of Western Australia, Australia)

Eliza Wu (The University of Technology Sydney, Australia)

Discussant: Kam C. Chan (Western Kentucky University, USA)

VF 104

Cross-Country Variations in Capital Structure Adjustment - The Role of Credit

Rating (10295)

Yu-Li (Takming University of Science and Technology, Taiwan)

Chung-Hua Shen (National Taiwan University, Taiwan)

Discussant: Andreas Wengner (University of Hohenheim, Germany)

Does Having a Credit Rating Leave Less Money on the Table When Raising

Capital? A Study of Credit Ratings and Seasoned Equity Offerings in China (10034)

Kam C. Chan (Western Kentucky University, USA) Winnie PH Poon (Lingnan University, Hong Kong)

Michael A Firth (Lingnan University, Hong Kong)

Discussant: Yu-Li (Takming University of Science and Technology, Taiwan)

Session 49 MARKET MICROSTRUCTURE 5 Chair: Ming Liu, International University of Japan

Information Risk Factor and Momentum Anomalies (10251)

Chuan-Yang Hwang (Nanyang Technological University, Singapore)

Discussant: Junamo Chiu (National Chiao Tung University, Taiwan)

Intraday Liquidity Provision by Trader Types in a Limit Order Market: Evidence

from Taiwan Index Futures (10390)

Junmao Chiu (National Chiao Tung University, Taiwan)

Huimin Chung (National Chiao Tung University; Taiwan)

George H. K. Wang (George Mason University, USA)

Discussant: Chuan-Yang Hwang (Nanyang Technological University, Singapore)

VF 108


Chair: Chien-Liang Chiu, Tamkang University

International Diversification: Gain or Loss? (10110)

Chun-Hao Chang (Florida International University, USA)

Julia Chou (Florida International University, USA)


Discussant: Michael Chng (Deakin University, Australia)

Stock Returns, Firm Size, Liquidity and the Festivities Effects: Asian Evidence

(10144)

Mohd Edil Abd Sukor (University of Melbourne, Australia)

Discussant: Yoon Chung Sin (University Putra Malaysia, Malaysia)

Higher Moments and the Asymmetric Behaviour of Market Risk: Evidence from

Australia (10129)

Minh Phuong Doan (RMIT University, Australia)

Chien-Ting Lin (Deakin University, Australia)

Michael Chng (Deakin University, Australia)

Discussant: Mohd Edil Abd Sukor (University of Melbourne, Australia)

Forecasting Stock Market Volatility: Evolution and Determinants of Change (10114)

Ng Chee Pung (University Putra Malaysia, Malaysia)

Taufiq Hassan (University Putra Malaysia, Malaysia)

Yoon Chung Sin (University Putra Malaysia, Malaysia)

Discussant: Chun-Hao Chang (Florida International University, USA)

VF 109


VF

SPECIAL FORUM

經濟部發表會

15:30-17:30

Int’l Reception

Hall (VF)


Session 51 EMERGING MARKETS

Chair: Wei Zhang, Deakin University

Investment of Foreign Financial Institutions in China Banking Sector: A Survival

Model Analysis (10116)

Hui-Lung Chang (National Chengchi University, Taiwan)

Sou-Shan Wu (Securities and Futures Institutes)

Szu-Lang Liao (National Chengchi University, Taiwan)

Discussant: Xinsheng Lu (Tongji University, China)

The High-Frequency Responses of China’s A-Share Market to Unexpected Monetary

Policy Announcements (10468)

Xinsheng Lu (Tongji University, China)

Mingting Kou (Datong University, China)

Discussant: Yu-Ning Hwang (Fordham University, USA)

Monetary Growth Targeting, the Taylor Rule and Share-Market Stability: The

Taiwanese Experience (10340)

Yu-Ning Hwang (Fordham University, USA)

Paul D (McNelisy, Fordham University, USA)

Discussant: Hui-Lung Chang (National Chengchi University, Taiwan)

VF 105

Session 52 VOLATILITY

Chair: Binh Do, Monash University

The Cross-sectional Relation between Conditional Heteroskedasticity, the Implied

Volatility Smile, and the Variance Risk Premium (10166)

Louis H. Ederington (University of Oklahoma, USA)

Wei Guan (University of South Florida St. Petersburg, USA)

Discussant: Jung-Bin Su (China University of Science and Technology, Taiwan)

The Relation between SPX At-the-Money Implied Volatility and VIX (10270)

Kun Zheng (Peking University, China)

Xingguo Luo (The University of Hong Kong, Hong Kong)

Jin E. Zhang (The University of Hong Kong, Hong Kong)

Discussant: Ken Hung (Texas A & M International University, USA)

How the Features of Candlestick Encourage the Performance of Volatility Forecast?

Evidence from the Stock Markets (10362)

Jung-Bin Su (China University of Science and Technology, Taiwan)

Discussant: Shumi Akhtar (Australian National University)

The Forecasting Performance of Implied Volatility Models for TAIEX Options

(10259)

Ken Hung (Texas A & M International University, USA)

Philip Russell (Philadelphia University, USA)

Discussant: Wei Guan (University of South Florida St. Petersburg, USA)

Intensity of Volatility Linkages in Islamic and Conventional Markets (10169)

Shumi Akhtar (Australian National University)

Maria Jahromi (Australian National University)

Kose John (University of New York)

VF 110

Claudia Moise (Case Western Reserve University)

Discussant: Kun Zheng (Peking University, China)

Session 53 SPECIALSESSION

MEET THE JOURNAL EDITORS

Professor S. Ghon Rhee (Pacific Basin Finance Journal, Editor) (University of

Hawaii, USA)

Professor Robert Faff (Accounting and Finance, Editor) (University of Southern,

Queensland, Australia)

Professor Edward Chow (Journal of Financial Studies, Editor) (Department of

Finance, National Chengchi University, Taiwan)

VF 101

Session 54 RISK MANAGEMENT

Chair: Vivian W. Tai, National Chi Nan University

Value at Risk Estimation by Quantile Regression and Kernel Estimator (10049)

Alex Y. Huang (Yuan Ze University, Taiwan)

Discussant: Katja Ignatieva (University of New South Wales, Australia)

Modeling Spot Price Dependence in Australian Electricity Markets with

Applications to Risk Management (10024)

Katja Ignatieva (University of New South Wales, Australia)

Stefan Truck (Macquarie University, Australia)

Discussant: Jan Baldeaux (University of New South Wales, Australia)

A Tractable Model for Indices Approximating the Growth Optimal Portfolio (10022)

Jan Baldeaux (University of New South Wales, Australia)

Katja Ignatieva (Macquarie University Sydney, Australia and Goethe University

Frankfurt, Germany)

Eckhard Platen (University of Technology Sydney, Australia)

Discussant: Alex Y. Huang (Yuan Ze University, Taiwan)

VF 102

Session 55 IPOs AND CROSS LISTING

Chair: Yue-Cheong Chan, Hong Kong Polytechnic University, Hong Kong

Investor Sentiment and IPO Pricing during Pre-Market and Aftermarket Periods

(10374)

Li,Jiang (Hong Kong Polytechnic University, Hong Kong)

Gao Li (Hong Kong Polytechnic University, Hong Kong)

Discussant: Yao Li (School of Finance, Shanghai University of Finance and

Economics, China)

National Culture and International IPO Underpricing (10327)

Hui Zhu (University of Calgary, Canada)

Discussant: Tong Yu (University of Rhode Island, USA and Shanghai University of

Finance and Economics, China)

Why Do ChiNext Board Firms Accept Private Equity Shortly before IPO: An

Explanation from Trade-off Perspective (10432)

Ziwei Zhang (Shanghai University of Finance and Economics, China)

Yao Li (School of Finance, Shanghai University of Finance and Economics, China)

Discussant: Hui Zhu (University of Calgary, Canada)

Dressing Up for Premium: A New Perspective on Cross-Listing (10346)

Walid Busaba (University of Western Ontario, Canada)

Lin Guo (Suffolk University, USA)

Zhenzhen Sun (Siena University, USA)

VF 106

Tong Yu (University of Rhode Island, USA and Shanghai University of Finance and

Economics, China)

Discussant: Gao Li (Hong Kong Polytechnic University, Hong Kong)

Session 56 INVESTMENT FUNDS 2

Chair: Jacquelyn Humphrey, Australian National University

Nature of VIX Jumps on Market Timing of Hedge Funds (10475)

Yueh-Neng Lin (National Chung Hsing University, Taiwan)

Jeremy C. Goh (National Chung Hsing University, Taiwan)

Discussant: Hsuan-Chi Chen (University of New Mexico, USA)

The Behavior of Premiums/Discounts of Leveraged Exchange-Traded Funds

(10078)

Narat Charupat (McMaster University, Canada)

Peter Miu (McMaster University, Canada)

Discussant: Kuan Ling, Lai (National Sun Yat-sen University, Taiwan)

Managerial Incentives in Concurrently Managed Mutual Funds (10329)

Hsuan-Chi Chen (University of New Mexico, USA)

Chin-Wen Hsin (Yuan Ze University, Taiwan)

Shih-Chen Hsu (Yuan Ze University, Taiwan)

Christine W. Lai (National Taiwan Normal University, Taiwan)

Discussant: Peter Miu (McMaster University, Canada)

Does Advertising Affect the Investor Redemption Behavior？Evidence from Realized

Transactions in Taiwanese Mutual Fund Market (10389)

Miao-Ling Chen (National Sun Yat-sen University, Taiwan)

Kuan Ling, Lai (National Sun Yat-sen University, Taiwan)

Chi-Lu Peng (Chung Hua University, Taiwan)

Discussant: Yueh-Neng Lin (National Chung Hsing University, Taiwan)

VF 107


Chair: Jo-Ann Suchard, University of New South Wales

Corporate Environmental Performance: Determinants and Financial Impacts

(10086)


Kang Kang Fu (Nanyang Technological University, Singapore)

Lewis Tam (University of Macau, Macau)

Discussant: Joye Khoo (Curtin University, Australia)

Financial Distress: Lifecycle and Corporate Restructuring (10267)

Sze Kee Koh (University of Western Australia, Australia)

Lele Dai (University of Western Australia, Australia)

Millicent Chang (University of Western Australia, Australia)

Discussant: May Hu (Curtin University, Australia)

Leverage Adjustment in Extremis: The Case of Acquisitions (10149)

Robert B. Durand (Curtin University, Australia)

Joye Khoo (Curtin University, Australia)

Subhrendu Rath (Curtin University, Australia)

Discussant: Sze Kee Koh (University of Western Australia, Australia)

What Drives Special Dividend Announcements? An Examination of Macro

Perspective (10200)

May Hu (Curtin University, Australia)

Discussant: Lewis Tam (University of Macau, Macau)

VF 103

Session 58 DERIVATIVES

Chair: Kam C. Chan, Western Kentucky University

Humps in the Volatility Structure of the Crude Oil Futures Market: New Evidence

(10089)

Carl Chiarella (The University of Technology, Sydney, Australia)

Boda Kang (The University of Technology, Sydney, Australia)

Christina Nikitopoulos Sklibosios (The University of Technology Sydney, Australia)

Thuy Duong To (University of New South Wales, Australia)

Discussant: Xiaolong Lu (The University of Hong Kong, Hong Kong)

Theory of Black-Scholes Simplex Options: A Tractability Analysis (10313)

Chun-Ying Chen (National Taiwan University, Taiwan)

Discussant: Wenjie Ma (Shanghai University of Finance & Economics, China)

Why Do Option Prices Predict Stock Returns? (10207)

Joost Driessen (Tilburg University, Netherlands)


Xiaolong Lu (The University of Hong Kong, Hong Kong)

Discussant: Chun-Ying Chen (National Taiwan University, Taiwan)

What Caused Chinese Warrant Price Deviations: Speculation or Creation

Mechanism? (10429)

Wenjie Ma (Shanghai University of Finance & Economics, China)

Discussant: Carl Chiarella (The University of Technology Sydney, Australia)

VF 104


Chair: Tsang-Yao Chang, Feng Chia University

Chinese New Year Effects On Stock Returns: Evidence From Asia-Pacific Stock

Markets (10127)

Sazali Abidin (The University of Waikato, New Zealand)

Azilawati Banchit (The University of Waikato, New Zealand)

Shiwei Sun (The University of Waikato, New Zealand)

Zhenfei Tian (The University of Waikato, New Zealand)

Discussant: Jinan Zhai (University of Technology, Sydney, Australia)

The Co-movement of Credit Default Swap Spreads, Stock Market Returns and

Volatilities: Evidence from Asia-Pacific Markets (10135)

Jose Da Fonseca (Auckland University of Technology, New Zealand)

Katrin Gottschalk (Auckland University of Technology, New Zealand)

Discussant: Samer SAADE (American University of Beirut, Lebanon)

Liquidity and Valuation in an Uncertain Market with Multiple Assets and Difference

of Opinions (10137)

Jinan Zhai (University of Technology, Sydney, Australia)

Discussant: Jose Da Fonseca (Auckland University of Technology, New Zealand)

The Investor Sentiment and the Underperformance of Initial Public Offerings

(IPOs) in the New Economy Sector (10142)

Samer SAADE (American University of Beirut, Lebanon)

Discussant: Zhenfei Tian (The University of Waikato, New Zealand)

VF 108

Session 60 CORPORATE FINANCE AND GOVERNANCE

Chair: Sheng-Syan Chen, National Taiwan University

Managerial Attitudes and Payout Policy: Asymmetric Information versus

VF 109

Overconfidence (10119)

SERITA, Toshio (Aoyama Gakuin University, Japan)

XU, Peng (Hosei University, Japan)

Discussant: Islam Abdeljawad (Universiti Kebangsaan Malaysia)

State Control, Political Connection, and Corporate Governance: Evidence from

China (10107)

Qingbo Yuan (University of Melbourne, Australia)

Discussant: Serita, Toshio (Aoyama Gakuin University, Japan)

Timing Behavior versus Adjustment toward the Target: What Determines the Capital

Structure Dynamics (10126)

Islam Abdeljawad (Universiti Kebangsaan Malaysia, malaysia)

Fauzias Mat Nor (Universiti Kebangsaan Malaysia, malaysia)

Discussant: XU, Peng (Hosei University, Japan)

Energy Stock Returns and the Fukushima Nuclear Accidents (10111)

Serita, Toshio (Aoyama Gakuin University, Japan)

XU, Peng, (Hosei University, Japan)

Discussant: Qingbo Yuan (University of Melbourne, Australia)

CONFERENCE DINNER AND AWARDS CEREMONY 18:45-21:00

Int’l Reception

Hall (VF)

Asian FA 2012 International Conference Program at a Glance · BF2 V110 FI3 V101 V102 ISB V106 V107...

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