Academic Programme

Download the final version of the AFM 2014 Full Programme.


Friday, 19th December 2014
8h00 to 09h45


Stream A.1 – Corporate Finance 1
Session Chair: Jerry Cao, Singapore Management University


08h00 to 08h35

Not the Token Woman

Hue Hwa Au Yong, Monash University

Maria Strydom, Monash University

Discussant: Helena Címerova, Auckland University of Technology


08h35 to 09h10

Help or Hinderance? Boardroom Network Connectivity and Firm Performance

Aaron Gilbert, Auckland University of Technology

Angela Andersen, Auckland University of Technology

Discussant: Hans Jeppsson, University of Gothenburg


09h10 to 09h45

Political Turnover, Ownership, and Corporate Investment

Jerry Cao, Singapore Management University

Brandon Julio, Singapore Management University

Sili Zhou, Singapore Management University

Discussant: Alireza Tourani-Rad, Auckland University of Technology


Stream A.2 – Empirical Asset Pricing
Session Chair: George W. Blazenko, Simon Fraser University


08h00 to 08h35

Conditional Asset Pricing and Momentum

Thanh Huynh, Auckland University of Technology

Daniel R. Smith, Queensland University of Technology

>Discussant: Konark Saxena, University of New South Wales


08h35 to 09h10

The Impact of Uncertainty in the Oil and Gold Market on the Cross-Section of Stock Returns

Iman Honarvar Gheysary, Maastricht University

Dennis Bams, Maastricht University

Gildas Blanchard, Maastricht University

Thorsten Lehnert, University of Luxembourg

Discussant: Adrian Fernandez-Perez, Auckland University of Technology


09h10 to 09h45

Equity Allocation Without Estimation Risk

George W. Blazenko, Simon Fraser University

Yufen Fu, Tunghai University

Discussant: Juan Yao, University of Sydney


Stream A.3 – Stock Market Dynamics
Session Chair: Remco C. J. Zwinkels, VU University Amsterdam


08h00 to 08h35

Simple Measures of Market Efficiency: A Study in Foreign Exchange Markets

Yoshihiro Kitamura, Waseda University

Discussant: Ivan Indriawan, Auckland University of Technology


08h35 to 09h10

Time varying volatility indexes and their determinants: Evidence from developed and emerging stock markets

Nalin Prasad, University of Sydney

Andrew Grant, University of Sydney

Suk-Joong Kim, University of Sydney

Discussant: Yoshihiro Kitamura, Waseda University


09h10 to 09h45

Forecasting Crashes: Correlated Fund Flows and the Skewness in Stock Returns

Remco C. J. Zwinkels, VU University Amsterdam

Chunmei Lin, Erasmus University

Xun Gong, Tilburg University

Discussant: Robert Durand, Curtin University


Stream A.4 – International Corporate Finance
Session Chair: Yuanto Kusnadi, Singapore Management University


08h00 to 08h35

Geographic Proximity of Institutional Investors and Payout Policy

Nhung Le, La Trobe University

Darren Henry, La Trobe University

Huong Giang (Lily) Nguyen, La Trobe University

Discussant: Yuanto Kusnadi, Singapore Management University


08h35 to 09h10

The Impact of Cross-listing on the Home Market’s Information Environment and Stock Price Efficiency

Olga Dodd, Auckland University of Technology

Aaron Gilbert, Auckland University of Technology

Discussant: Nhung Le, La Trobe University


09h10 to 09h45

Cross-Listings and Corporate Cash Savings: International Evidence

Yuanto Kusnadi, Singapore Management University

Discussant: Olga Dodd, Auckland University of Technology


Stream B.1 – Corporate Boards
Session Chair: Bart Frijns, Auckland University of Technology


10h15 to 10h50

How does executive gender affect the corporate reaction to competitive shocks?

Mario Daniele Amore, Bocconi University

Orsola Garofalo, Copenhagen Business School

Discussant: Hue Hwa Au Yong, Monash University


10h50 to 11h25

Does Board “Independence” Destroy Corporate Value?

Peter L. Swan, UNSW Business School

David Forsberg, UNSW Business School

Discussant: Jerry Cao, Singapore Management University


11h25 to 12h00

The Impact of Cultural Diversity in Corporate Boards on Firm Performance

Helena Címerova, Auckland University of Technology

Olga Dodd, Auckland University of Technology

Bart Frijns, Auckland University of Technology

Discussant: Mario Daniele Amore, Bocconi University


Stream B.2 – Sentiment
Session Chair: Stephen X. Gong, Hong Kong Polytechnic University


10h15 to 10h50

Investor Sentiment and Employment

Remco C. J. Zwinkels, VU University Amsterdam

Maurizio Montone, Erasmus University Rotterdam

Discussant: Stephen X. Gong, Hong Kong Polytechnic University


10h50 to 11h25

Superstition and Prices in Residential Real Estate Transactions

Danika Wright, University of Sydney

Discussant: Remco C. J. Zwinkels, VU University Amsterdam


11h25 to 12h00

The Informational Role of Individual Investors in Stock Pricing:  Evidence from Large Individual and Small Retail Investors

Cheng-Yi Shiu, National Central University

Hung-Ling Chen, Shih Chien University

Edward H. Chow, National Chengchi University

Discussant: Danika Wright, University of Sydney


Stream B.3 – Banking
Session Chair: Francis In, Monash University


10h15 to 10h50

Assessing Systemic Risk Based on Interbank Exposures in the Japanese Banking System

Masayasu Kanno, Kanagawa University

Discussant: Suk-Joong Kim, University of Sydney


10h50 to 11h25

The effects of ratings-contingent regulation on international bank lending behaviour:

Evidence from the Basel 2 Accord

Suk-Joong Kim, University of Sydney

Iftekhar Hasan, Fordham University and Bank of Finland

Eliza Wu, University of Technology Sydney

Discussant: Anella Munro, Reserve Bank


11h25 to 12h00

Systemic Risk in the European Sovereign and Banking System

Simon Xu, Monash University

Francis In, Monash University

Catherine Forbes, Monash University

Inchang Hwange, Leonard N. Stern School of Business, New York University

Discussant: Masayasu Kanno, Kanagawa University


Stream B.4 – Quantitative Finance
Session Chair: Jorge A. Cruz Lopez, Bank of Canada


10h15 to 10h50

Managing Mortality Risk in Life Annuities: An Application of Longevity Derivatives

Katja Ignatieva, University of New South Wales

Man Chung Fung, University of New South Wales

Michael Sherris, University of New South Wales

Discussant: José da Fonseca, Auckland University of Technology


10h50 to 11h25

The α-Hypergeometric Stochastic Volatility Model

José da Fonseca, Auckland University of Technology

Claude Martini, University of Waikato

Discussant: Katja Ignatieva, University of New South Wales


11h25 to 12h00

CoMargin

Jorge A. Cruz Lopez, Bank of Canada

Jeffrey H. Harris, American University Washington D.C

Christophe Hurlin, University of Orléans

Christophe Pérignon, HEC Paris

Discussant:George W. Blazenko, Simon Fraser University


12h15 to 13h15
Keynote Address I


Trading Volatility: At What Cost?
Keynote Speaker: Prof. Robert Whaley, Vanderbilt University, Nashville, US


Launched in January 2009, exchange-traded products (ETPs) linked to the CBOE Market Volatility Index (VIX) have enamoured no small number of traders judging by the billions of dollars invested in these new products. Why exactly is unclear. The most popular VIX ETPs are not suitable buy-and-hold investments and are virtually guaranteed to lose money through time. Indeed, since product launch, ETPs linked to the S&P 500 VIX short-term futures indexes have chalked up losses of nearly $4 billion. Yet the market continues to grow. The purpose of this address is to describe these products, explaining how and why they lose money.


Stream C.1 – Corporate Finance 2
Session Chair: Yanju Liu, Singapore Management University


14h00 to 14h35

Real Effects of International Tax Planning Incentives: Evidence from Domestic Acquisitions

Travis Chow, Singapore Management University

Discussant: Stephen X. Gong


14h35 to 15h10

Innovation in Founder-run Firms: Evidence from S&P 5001

MD Emdadul Islam, University of New South Wales

Discussant: Mona Yaghoubi, Victoria University of Wellington


15h10 to 15h45

Shareholder Wealth Effects of Anticipated Tax Aggressiveness Transfers

Yanju Liu, Singapore Management University

Discussant: Nhung Le, La Trobe Business School


Stream C.2 – Liquidity and Price Discovery
Session Chair: Hung Wan Kot, Hong Kong Baptist University


14h00 to 14h35

Quote Dynamics of Dually-listed Stocks

Ivan Indriawan, Auckland University of Technology

Bart Frijns, Auckland University of Technology

Alireza Tourani-Rad, Auckland University of Technology

Discussant: Madhu Kalimipalli, Wilfrid Laurier University


14h35 to 15h10

Stock Liquidity: a Virtue or a Vice? Firm-Level Evidence from Stock Price Crash Risk

Yangyang Chen, Monash University

Leon Zolotoy, University of Melbourne

Discussant: Iman Honarvar Gheysary, Maastricht University


15h10 to 15h45

The Determinants of Increased Short-Selling Activity

Hung Wan Kot, Hong Kong Baptist University

Discussant: Yafeng Qin, Massey University


Stream C.3 – Volatility 1
Session Chair: Jin Zhang, University of Otago


14h00 to 14h35

Tail Risk and the Returns of Fund of Hedge Funds

Juan Yao, University of Sydney

Discussant: Katja Ignatieva, University of New South Wales


14h35 to 15h10

Instantaneous Squared VIX and VIX Derivatives

Jin Zhang, University of Otago

Xingguo Luo, Zhejiang University

Discussant: José da Fonseca, Auckland University of Technology


15h10 to 15h45

Equilibrium-Based Volatility Models of the Market Portfolio Rate of Return

David Feldman, University of New South Wales

Xin Xu, Commonwealth Bank of Australia

Discussant: Jin Zhang, University of Otago


Stream C.4 – Asset Pricing
Session Chair: Redouane Elkamhi,  University of Toronto


14h00 to 14h35

Optimal Contracting, Ownership Structure and Asset Pricing

Hae Won (Henny) Jung, University of Melbourne

Qi Zeng, University of Melbourne

Ajay Subramanian, Georgia State University

Discussant: David Feldman, University of New South Wales


14h35 to 15h10

Exchange rates, expected returns and risk: UIP unbound

Anella Munro, Reserve Bank of New Zealand

Discussant: Jorge A. Cruz Lopez, Bank of Canada


15h10 to 15h45

When factors don’t span their basis portfolios

Konark Saxena, University of New South Wales

Discussant: Redouane Elkamhi,  University of Toronto


16h00 to 17h00
Keynote Address II


The Real Options Approach to Valuation: Challenges and Opportunities
Keynote Speaker: Prof. Eduardo Schwartz


This address provides an overview of the real options approach to valuation mainly from the point of view of the author who has worked in this area for over 30 years.  After a general introduction to the subject, numerical procedures to value real options are discussed. Recent developments on the valuation of complex American options has allowed progress in the solution of many interesting real option problems. Two applications of the real options approach are discussed in more detail: the valuation of natural resource investments, and the valuation of research and development investments.


Saturday, 20th December 2014
8h30 to 10h15


Stream D.1 – CFA Institute Session
08h30 to 10h15

Globalising business programmes through industry partnerships

Presenter: Charles E. Appeadu, CFA Institute


A perennial challenge of business schools for the last several decades has been creating an industry-relevant, international experience that attracts high-quality students and faculty.  This session will explore how engaging or partnership with industry leaders, such as CFA Institute, can create a global network that business schools can leverage to globalize and validate their degree programmes, enhancing both student and faculty experience.


Stream D.2 – Volatility 2
Session Chair: Robert Whaley, Vanderbilt University


08h30 to 09h05

Modeling VXX

Sebastian A. Gehricke, University of Otago

Jin Zhang, University of Otago

Discussant: Vladimir Volkov, Queensland University of Technology


09h05 to 09h40

Common trends in volatility and news in the global equity market

Vladimir Volkov, Queensland University of Technology

A.E. Clements, Queensland University of Technology

A.S. Hurn, Queensland University of Technology

Discussant: Suk-Joong Kim, The University of Sydney


09h40 to 10h15

The Impact of FOMC Announcements on the VIX and its Futures

Adrian Fernandez-Perez, Auckland University of Technology

Bart Frijns, Auckland University of Technology

Alireza Tourani-Rad, Auckland University of Technology

Discussant: Robert Whaley, Vanderbilt University


Stream D.3 – Corporate Finance 3
Session Chair: Madhu Kalimipalli, Wilfrid Laurier University


08h30 to 09h05

Does cash flow volatility affect firm capital structure?

Mona Yaghoubi, Victoria University of Wellington

Michael O’Connor Keefe, Victoria University of Wellington

Discussant: Travis Chow, Singapore Management University


09h05 to 09h40

Non‐Transferable Non‐Hedgeable Executive Stock Option Pricing

David B. Colwell, University of New South Wales

David Feldman, University of New South Wales

Wei Hu, Curtin University

Discussant: Hae Won (Henny) Jung, University of Melbourne


09h40 to 10h15

Pricing of International Private Debt: Evidence from the US 144A Secondary Bond Market

Madhu Kalimipalli, Wilfrid Laurier University

Alan G. Huang, University of Waterloo

Subhankar Nayak, Wilfrid Laurier University

Latha Ramchand, University of Houston

Discussant: Yanju Liu, Singapore Management University


Stream D.4 – Behavioral Finance
Session Chair: Robert B. Durand, Curtin University


08h30 to 09h05

State Ownership of Acquirers and results of Mergers and Acquisitions: Evidence from Vietnam

Nga Pham, La Trobe University

KB Oh, La Trobe University

Discussant: Ji Wu, Xiamen University


10h50 to 11h25

Star Analysts’ Rankings and Strategic Announcements: The Case of Battleground Stocks

Joshua Shemesh, University of Melbourne

Gil Aharoni, University of Melbourne

Fernando Zapatero, University of Southern California

Discussant: Cheng-Yi Shiu, National Central University


11h25 to 12h00

Sell‐Side Analyst Herding: Confidence, Limited Attention, Selective Attention and Distraction

Robert B. Durand, Curtin University

Manapon Limkriangkrai,  Monash University

Lucia Fung, Hong Kong Baptist University

Discussant: Joshua Shemesh, University of Melbourne


Stream E.1 – Investment Strategies
Session Chair: Ji Wu, Xiamen University


10h45 to 11h20

Popularity versus Profitability: Evidence from Bollinger Bands

Yafeng Qin, Massey University

Jiali Fang, Massey University

Ben Jacobsen, University of Edinburgh Business School

Discussant: Yangyang Chen, Monash University


11h20 to 11h55

Global Equity Correlation in Carry and Momentum Trades

Redouane Elkamhi, University of Toronto

Joon Woo Bae, University of Toronto

Discussant: Hung Wan Kot, Hong Kong Baptist University


11h55 to 12h30

Do extreme returns matter in emerging markets? Evidence from the Chinese stock market

Ji Wu, Xiamen University

Gilbert V. Nartea, Lincoln University

Discussant: Thanh Huynh, Auckland University of Technology


Stream E.2 – Corporate Investment and IPOs
Session Chair: Jonathan Jona, University of Melbourne


10h45 to 11h20

Asymmetric information, disclosures of R&D and the choice of equity-selling mechanisms

Hans Jeppsson, University of Gothenburg

Discussant: Rong Wang, Singapore Management University


11h20 to 11h55

Why Do U.S. Firms Invest Less and Less Over Time?

Rong Wang, Singapore Management University

Fangjian Fu, Singapore Management University

Sheng Huang, Singapore Management University

Discussant: Jonathan Jona, University of Melbourne


11h55 to 12h30

Illiquidity Dynamics of Newly Listed Stocks: Evidence from Foreign IPOs in the US

Jonathan Jona, University of Melbourne

Chiara Banti, University of Essex

Discussant: Aaron Gilbert, Auckland University of Technology


Stream E.3 – Governance
Session Chair: Hanna Westman, Bank of Finland


10h45 to 11h20

Institutional Holdings and Payout Policy – From the Perspective of Lifecycle Theory

Nhung Le, La Trobe University

Darren Henry, La Trobe University

Huong Giang (Lily) Nguyen, La Trobe University

Discussant: MD Emdadul Islam, University of New South Wales


11h20 to 11h55

Voluntary Non-financial Disclosure, Corporate Governance, and Investment Efficiency

Stephen X. Gong, Hong Kong Polytechnic University

Jean J. Chen, University of Southampton

Xinsheng Cheng, Nankai University

Youchao Tan, Southwestern University of Finance and Economics

Discussant: Hanna Westman, Bank of Finland


11h55 to 12h30

Crisis performance of European banks – does management ownership matter?

Hanna Westman, Bank of Finland

Discussant: Remco Zwinkels,  Erasmus University Rotterdam


Stream E.4 –Portfolio Management and Investment
Session Chair: Alireza Tourani-Rad, Auckland University of Technology


10h45 to 11h20

To Rebalance or Not to Rebalance: Portfolio risk may be larger than you think!

Katja Ignatieva, University of New South Wales

Vitali Alexeev, University of Tasmania

Discussant: David Feldman, University of New South Wales


11h20 to 11h55

Passive Investing: The Role of Securities Lending

Jesse Blocher, Vanderbilt University

Robert Whaley, Vanderbilt University

Discussant: Peter Swan, University of New South Wales


11h55 to 12h30

Institutional Trading and Asset Pricing

Bart Frijns, Auckland University of Technology

Thanh D. Huynh, Auckland University of Technology

Alireza Tourani-Rad, Auckland University of Technology

P. Joakim Westerholm, Sydney University

Discussant: Francis In, Monash University


12h45 13h45
Keynote Address II


The Market Test
Keynote Speaker: Prof. Robert I. Webb, University of Virginia


Market prices usually provide a better assessment of the likely outcome of uncertain events and the validity of controversial beliefs than opinion polls or "expert opinion." Similarly, trading volume also provides a test of what market participants really want in terms of security design or market organization.  Yet, this information often fails to inform policy actions or debates in the financial economic literature.  Numerous examples are used to illustrate the importance of the market test in judging the validity of widely held beliefs ranging from the "peak oil hypothesis" to the notion that "market are rigged" in favor of certain traders.