2012

The second Auckland Finance Meeting was held on 19-21 December 2012.

Keynote Speakers: Prof. Robert I. Webb and Prof. Terrance Odean

Papers presented at the 2012 Auckland Finance Meeting

Corporate Social Responsibility, Stock Prices and Tax Policy
Presenter: Amir Barnea, HEC Montréal
Discussant: Stephanie Sikes

Impact of Anonymity on Liquidity in Limit Order Books: Evidence from Cross-listed Stocks
Presenter: Jane Chau, University of Wollongong
Discussant: Aaron Gilbert

The Role of Surprise: Understanding Over- and Underreactions Using In-Play Soccer Betting
Presenter: Darwin Choi, Hong Kong University of Science and Technology
Discussant: Yan Luo

Large Swings in Currencies Driven by Fundamentals
Presenter: Phornchanok Cumperayot, Chulalongkorn University
Discussant: Leo Krippner

Cross-listing and the home bias
Presenter: Olga Dodd, Auckland University of Technology
Discussant: Jane Chau

Bank Competition and Financial Stability in Asia Pacific
Presenter: Maggie Fu, University of Macau
Discussant: Ming-Hua Liu

Co-Insurance in Mutual Fund Families
Presenter: Luis Goncalves-Pinto, National University of Singapore
Discussant: Jiang Luo

The Role of Remuneration Structures in Hedge Fund Performance
Presenter: Ivan Guidotti, University of Neuchâtel
Discussant: Eric Tan

Do Fund Investors Know that Risk is Sometimes not Priced?
Presenter: Fabian Irek, Luxembourg School of Finance
Discussant: Saskia ter Ellen

On Diversification
Presenter: Ben Jacobsen, Massey University
Discussant: Petko Kalev

Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach
Presenter: Xisong Jin, Luxembourg School of Finance
Discussant: Phornchanok Cumperayot

May I Have Your Attention, Please: The Market Microstructure of Investor Attention
Presenter: Thomas Johann, University of Mannheim
Discussant: Thibaut Moyaert

Enhanced optimal portfolios - A controlled integration of quantitative predictors
Presenter: Lars Kaiser, University of Liechtenstein
Discussant: Roy Kouwenberg

Cash-Flow News, Discount-Rate News and Co-skewness Risk
Presenter: Petko Kalev, University of South Australia
Discussant: Pavel Savor

Is the Relationship between Investment and Conditional Cash Flow Volatility Really Ambiguous?
Presenter: Michael Keefe, Victoria University of Wellington
Discussant: Olga Dodd

Early warning systems for currency crises: A multivariate extreme value approach
Presenter: Roy Kouwenberg, Mahidol University
Discussant: Magdalena Pisa

Measuring the stance of monetary policy in zero lower bound environments
Presenter: Leo Krippner, Reserve Bank of New Zealand
Discussant: Jose da Fonseca

Conflicting Interests in Fund Families’ Acquisitions of Fund Sponsorships
Presenter: Jiang Luo, Nanyang Technological University
Discussant: Ivan Guidotti

Costly and unprofitable speculation: Evidence from trend-chasing Chinese short-sellers and margin-traders
Presenter: Yan Luo, Fudan University
Discussant: Jun Chen

Say on Pay: Is It Globally Value-enhancing?
Presenter: Stephani Mason, Rutgers University
Discussant: Alireza Tourani-Rad

Do Japanese Candlesticks help solving the trader's dilemma?
Presenter: Paolo Mazza, Universite catholique de Louvain
Discussant: Jianxin Wang

Political partisanship and corporate performance
Presenter: Alexander Molchanov, Massey University
Discussant: Stephani Mason

The Information Content of Volume Price Impact for Intraday Liquidity Forecasting
Presenter: Thibaut Moyaert, Université Catholique de Louvain
Discussant: Yoichi Otsubo

Performance-Chasing Behavior in Mutual Funds: New Evidence from Multi-Fund Managers
Presenter: Abhiroop Mukherjee, Hong Kong University of Science and Technology
Discussant: Luis Goncalves-Pinto

Market Perceptions of US and European Policy Actions Around the Subprime Crisis
Presenter: Yoichi Otsubo, Luxembourg School of Finance
Discussant: Maggie Fu

Modeling default correlation in a US retail loan portfolio
Presenter: Magdalena Pisa, Luxembourg School of Finance
Discussant: Erik Schlogl

Transaction taxes in a price maker/taker market
Presenter: Dale Rosenthal, University of Illinois at Chicago
Discussant: Joakim Westerholm

Earnings Announcements and Systematic Risk
Presenter: Pavel Savor, University of Pennsylvania
Discussant: Takeshi Yamada

Status, Marriage, and Managers' Attitudes To Risk
Presenter: Pavel Savor, University of Pennsylvania
Discussant: Alexander Molchanov

Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets
Presenter: Eric Schlogl, University of Technology, Sydney
Discussant: Yinggang Zhou

Liquidity, Investor-Level Tax Rates, and Expected Rates of Return
Presenter: Stephanie Sikes, University of Pennsylvania
Discussant: Peter Swan

Promotion incentives, CEO appointments and firm performance
Presenter: Maria Strydom, Monash University
Discussant: Michael Keefe

The role of equity analysts’ forecasts in the pricing of CDS Spreads Presenter: Jiri Svec, University of Sydney
Discussant: Abhiroop Mukherjee

The Wisdom of Crowds: How the Hi-Tech Bubble Enriched Household Investors
Presenter: Peter Swan, University of New South Wales
Discussant: Ben Jacobsen

The informational advantage of local investors: Evidence from fund managers’ trades around credit events
Presenter: Eric Tan, University of New South Wales
Discussant: Fabian Irek

Risk and uncertainty in the foreign exchange market
Presenter: Saskia ter Ellen, Erasmus University, Rotterdam
Discussant: Andrew Grant

How Well Does the Weighted Price Contribution Measure Price Discovery?
Presenter: Jianxin Wang, University of Technology, Sydney
Discussant: Dale Rosenthal

Reference Price Formation for Packaged Transactions
Presenter: Joakim Westerholm, University of Sydney
Discussant: Remco Zwinkels

Partial privatization, firm performance and employment: Political and economic objectives of government
Presenter: Takeshi Yamada, University of Adelaide
Discussant: Maria Strydom

Improving Out-of Sample Performance of Asset Pricing Models: A Model Portfolio Approach
Presenter: Qing Zhou, University of Queensland
Discussant: Jiri Svec

Modeling the Joint Dynamics of Risk Neutral Stock Index and Bond Yield Volatilities
Presenter: Yinggang Zhou, Chinese University of Hong Kong
Discussant: Xisong Jin

On the style switching behaviour of mutual fund managers
Presenter: Remco Zwinkels, Erasmus University, Rotterdam
Discussant: Darwin Choi