2017 AFM: Academic Programme

Auckland Finance Meeting 2017, in Queenstown NZ

Full Programme PDF Version  *A printed version will be in your conference pack*

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CROWNE PLAZA, QUEENSTOWN

 

DAY 1

Monday, 18 December 2017

13:00 - 17:00

12:30 -  13:00

REGISTRATION

ATRIUM
13:00 - 15:00 STREAM A 
   
SESSION: A.1

Analyst Coverage

CROWNE I
CHAIR: Thomas Shohfi, Rensselaer Polytechnic Institute  
   
Paper: Mutual Funds and Affiliated Analyst Recommendations: Optimism or Information Sharing? 
Presenter: Doowon Lee, University of Newcastle  
Discussant:  Thi Mai Lan Nguyen, University of Adelaide  
   
Paper: Resources and Workload: Heterogeneous Impact on Analysts' Performance 
Presenter: Thi Mai Lan Nguyen, University of Adelaide  
Discussant:  Thomas Shohfi, Rensselaer Polytechnic Institute  
   
Paper: Implications of Buy-Side Analysts' Participation in Public Earnings Conference Calls 
Presenter: Thomas Shohfi, Rensselaer Polytechnic Institute  
Discussant:  Doowon Lee, University of Newcastle  
   
SESSION: A.2

Behavioral Finance

CROWNE II
CHAIR: Bryan Lim, University of Melbourne  
   
Paper: A New Index of Housing Sentiment 
Presenter: Lasse Bork, Aalborg University  
Discussant:  Bryan Lim, University of Melbourne  
   
Paper: Discretionary Trading and Inattention During the 2010 FIFA World Cup 
Presenter: Philip Drummond, Australian National University  
Discussant:  Lasse Bork, Aalborg University  
   
Paper: The Mean Streets of Sydney 
Presenter: Robert Durand, Curtin University  
Discussant:  Philip Drummond, Australian National University  
   
Paper: Disagreement is Bad News 
Presenter: Bryan Lim, University of Melbourne  
Discussant:  Robert Durand, Curtin University  
   
SESSION: A.3

International Financial Markets

CROWNE III
CHAIR: Ivalina Kalcheva, University of California - Riverside  
   
Paper: Cross-listing decisions of firms and output specialization 
Presenter: Abraham Agyemang, Massey University  
Discussant:  Jianfu Shen, Hang Seng Management College  
   
Paper: Monetary Policy and currency Returns: the Foresight Saga 
Presenter: Igor Pozdeev, University of St. Gallen  
Discussant:  Abraham Agyemang, Massey University  
   
Paper: Fundamental analysis and stock returns in international equity markets 
Presenter: Jianfu Shen, Hang Seng Management College  
Discussant:  Ivalina Kalcheva, University of California - Riverside  
   
Paper: Business group affiliation, price informativeness, and asymmetric corporate disclosure: International Evidence 
Presenter: Ivalina Kalcheva, University of California - Riverside
Discussant:  Igor Pozdeev, University of St. Gallen  
   
15:00 - 15:30 COFFEE/TEA BREAK ATRIUM
15:30 - 17:30 STREAM B 
   
SESSION: B.1

Quantitative Finance I

CROWNE I
CHAIR: Jose Da Fonseca, Auckland University of Technology  
   
Paper: A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors
Presenter: Erik Schlogl, University of Technology Sydney  
Discussant:  Jose Da Fonseca, Auckland University of Technology  
   
Paper: Addressing the Confusion Between Hyperbolic Memory and Regime Switching in the Second Moment: A Markov Regime-Switching Hyperbolic GARCH Model 
Presenter: Yanlin Shi, Macquarie University  
Discussant:  Wenjun  Zhang, Auckland University of Technology  
   
Paper: Changing Probability Measures in GARCH Option Pricing Models 
Presenter Wenjun  Zhang, Auckland University of Technology  
Discussant: Yanlin Shi, Macquarie University  
   
Paper: Semivariance and Semiskew Risk Premiums in Currency Markets 
Presenter: Jose Da Fonseca, Auckland University of Technology  
Discussant: Erik Schlogl, University of Technology Sydney  
   
SESSION: B.2

Market Microstructure I

CROWNE II
CHAIR: Ivan Indriawan, Auckland University of Technology  
   
Paper: Dark Landscape: Shifting Between Dark and Block Trading  
Presenter: Angelo Aspiris, University of Sydney  
Discussant:  Ivan Indriawan, Auckland University of Technology  
   
Paper: Message Traffic Restrictions and Relative Pricing Efficiency: Evidence from Index Futures Contracts and Exchange-Traded Funds 
Presenter: Andrew Lepone, Macquarie University  
Discussant:  Po-Lin (Bolin) Wu, Thammasat University  
   
Paper: Capturing the Order Imbalance with Hidden Markov Model: A Case of SET50 and KOSPI50 
Presenter: Po-Lin (Bolin) Wu, Thammasat University  
Discussant:  Angelo Aspiris, University of Sydney  
   
Paper: Market Quality around Macroeconomic News Announcements: Evidence from the Australian Stock Markets 
Presenter: Ivan Indriawan, Auckland University of Technology  
Discussant: Andrew Lepone, Macquarie University  
   
SESSION: B.3

Market Anomalies

CROWNE III
CHAIR: Tai-Yong Roh, Auckland University of Technology  
   
Paper: Dividend premium Uncovered  
Presenter: Minh Viet Do, Monash University  
Discussant:  Tai-Yong Roh, Auckland University of Technology  
   
Paper: Return drift following stock split announcements 
Presenter: Philip Gharghori, Monash University  
Discussant:  Dongcheol Kim, Korea University  
   
Paper: Post-Earnings-Announcement Drift: Expected Growth Risk
or Limits-to-Arbitrage?
 
Presenter: Dongcheol Kim, Korea University  
Discussant:  Philip Gharghori, Monash University  
   
Paper: What Drives the Dispersion Anomaly? 
Presenter: Tai-Yong Roh, Auckland University of Technology  
Discussant:  Minh Viet Do, Monash University  
   
17:30 - 18:30

WELCOME RECEPTION

ATRIUM/                 COURTYARD
   

DAY 2

Tuesday, 19 December 2017

08:00 - 17:45

07:30 - 08:00 REGISTRATION ATRIUM
08:00 - 10:00 STREAM C 
   
SESSION: C.1

Quantitative Finance II

BOARDROOM
CHAIR: Stafford Johnson, Xavier University  
   
Paper: A Demand-Based Equilibrium Model of Volatility Trading 
Presenter: Jin Zhang, University of Otago  
Discussant: M. Humayun Kabir, Massey University  
   
Paper: Ad-hoc Analytic Option Pricing under Nonlinear GARCH with NIG Lévy Innovations 
Presenter: M. Humayun Kabir, Massey University  
Discussant:  Zheyao Pan, University of Otago  
   
Paper: Levy (co)jumps across international equity markets and FOMC news announcements  
Presenter: Zheyao Pan, University of Otago  
Discussant:  Stafford Johnson, Xavier University  
   
Paper: Skewness-Adjusted Calibration Model 
Presenter: Stafford Johnson, Xavier University  
Discussant: Jin Zhang, University of Otago  
   
SESSION: C.2

Corporate Innovation

CROWNE I
CHAIR: Aurobindo Ghosh, Singapore Management University  
   
Paper: Effects of Chinese Imports on U.S. Firm Innovation: Evidence from the US-China Permanent Normal Trade Relation 
Presenter: Tao Chen, Nanyang Technological University  
Discussant:  Aurobindo Ghosh, Singapore Management University  
   
Paper: Overconfident CEOs as Outside Directors: Are They Better Facilitators for Innovation? 
Presenter: Susanna Lu, University of Waikato  
Discussant:  Tao Chen, Nanyang Technological University  
   
Paper: Did the Sarbanes-Oxley Act Impede Corporate Innovation? An Analysis of the Unintended Consequences of Regulation  
Presenter: Aurobindo Ghosh, Singapore Management University  
Discussant:  Susanna Lu, University of Waikato  
   
SESSION: C.3

Banking

CROWNE II
CHAIR: Xin Liu, Australian National University  
   
Paper: Technical Efficiency of Islamic and Conventional Banks: Evidence from the Stochastic Meta-frontier Directional Distance Function Approach 
Presenter: Md Safiullah, University of Newcastle  
Discussant:  Amir Khalilzadeh, University of Lausanne  
   
Paper: Does Securitization Impair Bank Lending Relationship?   
Presenter: Xin Liu, Australian National University  
Discussant:  Md Safiullah, University of Newcastle  
   
Paper:Monitoring Transmission of Systemic Risk:  Application of PLS-SEM in Financial Stress Testing 
Presenter:Necmi Avkiran, University of Queensland 
Discussant:Xin Liu, Australian National University 
   
Paper:Measuring the Capital Shortfall of Large U.S. Banks 
Presenter:Amir Khalilzadeh, University of Lausanne 
Discussant:Necmi Avkiran, University of Queensland 
   
SESSION: C.4

Market Microstructure II

CROWNE III
CHAIR: Katja Ignatieva, University of New South Wales  
   
Paper: Algos gone wild: Are order cancellations in financial markets excessive? 
Presenter: Marta Khomyn, University of Technology Sydney  
Discussant:  Katja Ignatieva, University of New South Wales  
   
Paper: Price discovery contribution of proprietary and agency algorithmic traders 
Presenter: Samarpan Nawn, Indian Institute of Management Calcutta  
Discussant:  Roberto Pascual, University of the Balearic Islands  
   
Paper: Order Exposure in High Frequency Markets 
Presenter: Roberto Pascual, University of the Balearic Islands  
Discussant:  Marta Khomyn, University of Technology Sydney  
   
Paper: Forecasting High Frequency Intra-Day Electricity Demand using Temperature 
Presenter: Katja Ignatieva, University of New South Wales  
Discussant:  Samarpan Nawn, Indian Institute of Management Calcutta  
   
10:00 - 10:30 COFFEE/TEA BREAK ATRIUM
10:30 - 12:00 STREAM D 
   
SESSION: D.1

Portfolio Optimization

BOARDROOM
CHAIR: Wolfgang Bessler, University of Giessen  
   
Paper: An Exact Test of the Improvement of the Minimum Variance Portfolio 
Presenter: Paskalis Glabadanidis, University of Adelaide  
Discussant:  Wolfgang Bessler, University of Giessen  
   
Paper: Hedging with an edge: parametric currency overlay 
Presenter: Jurij-Andrei Reichenecker, University of Liechtenstein  
Discussant:  Paskalis Glabadanidis, University of Adelaide  
   
Paper: Portfolio Optimization with Industry Return Prediction Models 
Presenter: Wolfgang Bessler, University of Giessen  
Discussant:  Jurij-Andrei Reichenecker, University of Liechtenstein  
   
SESSION: D.2

Mergers and Acquisitions I

CROWNE I
CHAIR: Danika Wright, University of Sydney  
   
Paper: How do firms finance investments in markets with business groups? Evidence from acquisitions by India's listed firms 
Presenter: Varun Jindal, Indian Institute of Management Calcutta  
Discussant:  Danika Wright, University of Sydney  
   
Paper: Do investors pay attention to proxy voting outcomes? Evidence from the M&A setting 
Presenter: Lingwei Li, Australian National University  
Discussant:  Varun Jindal, Indian Institute of Management Calcutta  
   
Paper: Do firms adjust their acquisition strategies in response to changes in financial reporting incentives?  
Presenter: Danika Wright, University of Sydney  
Discussant:  Lingwei Li, Australian National University  
   
SESSION: D.3

Informed Trading

CROWNE II
CHAIR: Aaron Gilbert, Auckland University of Technology  
   
Paper: Country Origins and Types of Institutional Investors, and Firm-specific Information Flows: 
Presenter: Jeong-Bon Kim, City University of Hong Kong  
Discussant:  Aaron Gilbert, Auckland University of Technology  
   
Paper: How Smart Is Institutional Trading 
Presenter: Jianfeng Hu, Singapore Management University  
Discussant:  Jeong-Bon Kim, City University of Hong Kong  
   
Paper: Do Penalties Matter? The Impact of the Introduction of Financial Penalties in the United Kingdom for Insider Trading  
Presenter: Aaron Gilbert, Auckland University of Technology  
Discussant:  Jianfeng Hu, Singapore Management University  
   
SESSION: D.4

Meet the Editors

CROWNE III
CHAIR: Bart Frijns, Auckland University of Technology  
   
 

Robert Faff, University of Queensland

Editor of the Pacific Basin Finance Journal

 
 

Robert I. Webb, University of Virginia

Editor of the Journal of Futures Markets

 
 

Xue-zhong  (Tony) He, University of Technology Sydney

Editor of the Journal of Economic Dynamics and Control

 
   
12:00 - 13:00 LUNCH BREAK ATRIUM
   
13:00 - 14:00

KEYNOTE: DARREL DUFFIE, STANFORD UNIVERSITY

CROWNE II
Title: Bank Capital and Financial Market Liquidity 
Abstract: Space on the balance sheets of major dealer banks is much more expensive than before the Great Financial Crisis of 2007-2009. Increased regulatory capital requirements and much higher bank funding costs have added significant frictions to some important over-the-counter markets, especially those requiring collateral or involving the intermediation of low-risk assets. Some of the increased reluctance by big banks to use their balance sheets for intermediation is caused by increased funding costs that have nothing to do with regulatory capital requirements. Now that the creditors of big banks are less likely to be bailed out with government capital, they are requiring much higher credit spreads. Using models and evidence, I show that bank credits spreads are approximately equal to the extra return (above and beyond the fair market return) that banks must earn on their trading activities to compensate their shareholders for the use of their balance sheets.   
   
14:15 - 15:45 STREAM E 
   
SESSION: E.1

Corporate Practices

BOARDROOM
CHAIR: Ayesha Scott, Auckland University of Technology  
   
Paper: Analyst coverage and the quality of corporate  investment decisions 
Presenter: Thomas To, University of Sydney  
Discussant:  Ayesha Scott, Auckland University of Technology  
   
Paper: Does Stock Market Liquidity Affect Real and Accrual-Based Earnings Management? 
Presenter: Ying Xia, Monash University  
Discussant:  Thomas To, University of Sydney  
   
Paper: Distracted Investors and Earnings Management 
Presenter: Ayesha Scott, Auckland University of Technology  
 Ying Xia, Monash University  
   
SESSION: E.2

Mergers and Acquisitions II

CROWNE I
CHAIR: Alireza Tourani-Rad, Auckland University of Technology  
   
Paper: Win-Stay, Lose-Shift: A Strategy of Serial Acquirers 
Presenter: Lyungmae Choi, City University of Hong Kong  
Discussant:  Anand Vijh, University of Iowa  
   
Paper: Minority Acquisitions and Information Risk: International and Cross-border Evidence 
Presenter: Peng (Peter) Huang, University of Waikato  
Discussant:  DuckKi Cho, University of Sydney  
   
Paper: Stock Merger Activity and Industry Performance 
Presenter: Anand Vijh, University of Iowa  
Discussant:  Peng (Peter) Huang, University of Waikato  
   
SESSION: E.3

Market Microstructure III

CROWNE II
CHAIR: Xue-zhong (Tony) He, University of Technology Sydney  
   
Paper: Identifying Information Asymmetry in Securities Markets 
Presenter: Tao Li, City University of Hong Kong  
Discussant:  Richard Phillip, University of Sydney  
   
Paper: Estimating Permanent Price Impact 
Presenter: Richard Phillip, University of Sydney  
Discussant:  Xue-zhong (Tony) He, University of Technology Sydney  
   
Paper: Information diffusion and speed competition 
Presenter: Xue-zhong (Tony) He, University of Technology Sydney  
Discussant:  Tao Li, City University of Hong Kong  
   
SESSION: E.4

Bond Markets

CROWNE III
CHAIR: Olga Dodd, Auckland University of Technology  
   
Paper: Holdout Litigation and Sovereign Debt Enforcement 
Presenter: Prasanna Gai, University of Auckland  
Discussant:  Olga Dodd, Auckland University of Technology  
   
Paper: Investment flexibility and loan contract terms 
Presenter: Tram Vu, Monash University  
Discussant:  Prasanna Gai, University of Auckland  
   
Paper: The Impact of Rising Emerging Market Corporate Debt on Underlying Credit Risk 
Presenter: Olga Dodd, Auckland University of Technology  
Discussant:  Tram Vu, Monash University  
   
15:45 - 16:15 COFFEE/TEA BREAK ATRIUM
16:15 - 17:45 STREAM F 
   
SESSION: F.1

Mutual Funds II

BOARDROOM
CHAIR: Pratish Patel, California Polytechnic State University  
   
Paper: Inefficient Globalization of Finance: Evidence from Marketing-Oriented Overseas Expansions of Low-Skilled Mutual Fund Families 
Presenter: Si Cheng, Chinese University of Hong Kong  
Discussant:  Pratish Patel, California Polytechnic State University  
   
Paper: Asset Pricing Implications of your Mutual Fund Managers Constraints 
Presenter: Pratish Patel, California Polytechnic State University  
Discussant:  Si Cheng, Chinese University of Hong Kong  
   
SESSION: F.2

Asset Pricing

CROWNE I
CHAIR: Marcel Prokopczuk, Leibniz University Hannover  
   
Paper: Investment Shocks and Asset Returns: International Evidence 
Presenter: Ruchith Dissanayake, Queensland University of Technology  
Discussant:  Marcel Prokopczuk, Leibniz University Hannover  
   
Paper: The Price of Liquidity Beta in China 
Presenter: Xinfeng Ruan, University of Otago  
Discussant:  Ruchith Dissanayake, Queensland University of Technology  
   
Paper: The Memory of Stock Return Volatility: Asset Pricing Implications 
Presenter: Marcel Prokopczuk, Leibniz University Hannover  
Discussant:  Xinfeng Ruan, University of Otago  
   
SESSION: F.3

Investments I

CROWNE II
CHAIR: Jiacui Li, Stanford University  
   
Paper: The Price of Integrity 
Presenter: Chen Chen, Monash University  
Discussant:  Jiacui Li, Stanford University  
   
Paper: What Affects Factor Loading Uncertainty and Expected Returns? The Role of Accounting Quality 
Presenter: Charles  Shi, National University of Singapore  
Discussant:  Chen Chen, Monash University  
   
Paper: Fund Flows, Slow-Moving Liquidity Provision, and Common Factors in Stock Returns 
Presenter: Jiacui Li, Stanford University  
Discussant:  Charles  Shi, National University of Singapore  
   
SESSION: F.4

Corporate Finance I

CROWNE III
CHAIR: Alexander Vadilyev, Australian National University  
   
Paper: The Cash Flow Sensitivity of Cash Dividends in Different Dividend Taxation Systems 
Presenter: Michael Keefe, Victoria University of Wellington  
Discussant:  Alexander Vadilyev, Australian National University  
   
Paper: Corporate Policy when Equity and Bond Holders  Price Risk Differently 
Presenter: Robert Manolache, University of Melbourne  
Dicussant: Michael Keefe, Victoria University of Wellington  
   
Paper: Financial Development, Macro Uncertainty and  Saving-Cash Flow Sensitivity 
Presenter: Alexander Vadilyev, Australian National University  
Discussant:  Robert Manolache, University of Melbourne  
   
18:00 - 19:00

FIRN WOMEN'S EVENT

WAKITIPU ROOM      SKYLINE  QUEENSTOWN
19:00 - 22:00

CONFERENCE DINNER

WAKITIPU ROOM               SKYLINE QUEENSTOWN
   

DAY 3

Wednesday, 20 December 2017

08:00 - 17:45
08:00 - 08:30 REGISTRATION ATRIUM
08:30 - 10:00 STREAM G 
   
SESSION: G.1

Credit Risk

BOARDROOM
CHAIR: Jiri Svec, University of Sydney  
   
Paper: Default Probabilities of Privately Held Firms 
Presenter: Baeho Kim, Korea University Business School  
Discussant:  Jiri Svec, University of Sydney  
   
Paper: The Credit Scoring and Transmission Channels in the Non-Prime Mortgage Market 
Presenter: Timothy Riddiough, University of Wisconsin - Madison  
Discussant:  Baeho Kim, Korea University Business School  
   
Paper: The impact of the Dodd-Frank act on the informational content of credit ratings 
Presenter: Jiri Svec, University of Sydney  
Discussant:  Timothy Riddiough, University of Wisconsin - Madison  
   
SESSION: G.2

Corporate Governance

CROWNE I
CHAIR: Sebastian Trabert, University of Goettingen  
   
Paper: Corporate Governance Reform and Risk-taking: Evidence from an Emerging Market 
Presenter: Suman Neupane, Griffith University, Brisbane, Australia  
Discussant:  Sebastian Trabert, University of Goettingen  
   
Paper: The Impact of Japan's Stewardship Code on Shareholder Voting 
Presenter: Yasutomo Tsukioka, Kwansei Gakuin University  
Discussant:  Suman Neupane, Griffith University, Brisbane, Australia  
   
Paper: Corporate Governance and the Volatility of Volatility 
Presenter: Sebastian Trabert, University of Goettingen  
Discussant:  Yasutomo Tsukioka, Kwansei Gakuin University  
   
SESSION: G.3

Corporate Finance II

CROWNE II
CHAIR: Garland Huang, University of New South Wales  
   
Paper: Risk Committee, Corporate Risk-Taking and Firm Value 
Presenter: Borhan Bhuiyan, Massey University  
Discussant:  Garland Huang, University of New South Wales  
   
Paper: Do Firms Use Interim CEO Position as a Testing Ground for CEO Candidates 
Presenter: Xiaoxiao He, City University of Hong Kong  
Discussant:  Borhan Bhuiyan, Massey University  
   
Paper: Corporate Risk-taking, Foreign Institutional Ownership, and the Role of Country-level Corporate Governance 
Presenter: Garland Huang, University of New South Wales  
Discussant:  Xiaoxiao He, City University of Hong Kong  
   
SESSION: G.4

Short-selling

CROWNE III
CHAIR: Jun Chen, Auckland University of Technology  
   
Paper: The World-Wide Source of Industry Information: The Industry Concentration of Short Seller  
Presenter: Zsuzsa Huszar, National University of Singapore  
Discussant:  Jinjuan Ren, University of Macau  
   
Paper: The Loud Silence of Suppressed Short-Sale Demand 
Presenter: Jinjuan Ren, University of Macau  
Discussant:  Jun Chen, Auckland University of Technology  
   
Paper: Short Selling and Financial Reporting Quality:  Evidence from Chinese AH shares 
Presenter: Jun Chen, Auckland University of Technology  
Discussant:  Zsuzsa Huszar, National University of Singapore  
   
10:00 - 10:30 COFFEE/TEA BREAK ATRIUM
10:30 - 12:00 STREAM H 
   
SESSION: H.1

Option Markets

BOARDROOM
CHAIR: Danjue Shang, Utah State University 
   
Paper: The Effect of Stock Market Indexing on Option Market Quality 
Presenter: Li Ge, Monash University  
Discussant:  Danjue Shang, Utah State University 
   
Paper: Is Trading What Makes Prices Informative? Evidence from Option Markets 
Presenter: Danjue Shang, Utah State University  
Discussant:  Li Ge, Monash University  
   
SESSION: H.2

CEO Compensation

CROWNE I
CHAIR: Jared Stanfield, University of New South Wales  
   
Paper: Explaining Downward-rigid CEO Compensation: An Information Asymmetry Perspective 
Presenter: Yiqing Lu, New York University Shanghai  
Discussant:  Jared Stanfield, University of New South Wales  
   
Paper: CEO Inside Debt Compensation and Innovative Output 
Presenter: Ha Nguyen, University of Auckland  
Discussant:  Yiqing Lu, New York University Shanghai  
   
Paper: CEO Option Compensation Can Be a Bad Option:  Evidence from Product Market Relationships 
Presenter: Jared Stanfield, University of New South Wales  
Discussant:  Ha Nguyen, University of Auckland  
   
SESSION: H.3

Corporate Finance III

CROWNE II
CHAIR: Xiaotian (Tina) Zhang, Saint Mary's College of California  
   
Paper: Technological Progress and Ownership Structure 
Presenter: Heng (Griffin) Geng, Victoria University of Wellington  
Discussant:  Zheng (Vycke) Wu, University of Sydney Business School 
   
Paper: The dynamics of internationalization and impact of foreign institutional ownership on firm performance 
Presenter: Zheng (Vycke) Wu, University of Sydney Business School  
Discussant:  Xiaotian (Tina) Zhang, Saint Mary's College of California 
   
Paper: Dynamic Adjustment of Board Structure: Evidence from China's Public Listed Companies 
Presenter: Xiaotian (Tina) Zhang, Saint Mary's College of California  
Discussant:  Heng (Griffin) Geng, Victoria University of Wellington 
   
SESSION: H.4

Return Predictability

CROWNE III
CHAIR: Peiming Wang, Auckland University of Technology  
   
Paper: Partial Moment Momentum 
Presenter: Yang Gao, University of Sydney  
Discussant:  Prachi Deuskar, Indian School of Business  
   
Paper: Margin Credit and Stock Return Predictability 
Presenter: Prachi Deuskar, Indian School of Business  
Discussant:  Peiming Wang, Auckland University of Technology  
   
Paper: Out-of-sample equity premium prediction: a scenario analysis approach 
Presenter: Peiming Wang, Auckland University of Technology  
Discussant:  Yang Gao, University of Sydney  
   
12:00 - 13:00 LUNCH BREAK ATRIUM
   
13:00 - 14:00

KEYNOTE: ROBERT WEBB, UNIVERSITY OF VIRGINIA

CROWNE II
Title: A Brief History of Financial Innovations and Markets 
Abstract: This talk discusses the origins and evolution of financial innovations and markets with particular emphasis on developments during the last 50 years in derivative securities and markets.  The factors affecting: what we trade; where we trade; how we trade; and how quickly we trade are discussed and the implications for policymakers, practitioners and academics alike are assessed.  
   
14:15 - 15:45 STREAM I 
   
SESSION: I.1

Asset Pricing Models

BOARDROOM
CHAIR: Mark Doolan, Queensland University of Technology  
   
Paper: Limited Stock Market Participation and Conditional Consumption Asset Pricing 
Presenter: Chanik Jo, University of Toronto  
Discussant:  Mark Doolan, Queensland University of Technology  
   
Paper: Testing Ex-post Implications of Asset Pricing Models using Individual Stocks 
Presenter: Georgios Skoulakis, University of British Columbia  
Discussant:  Chanik Jo, University of Toronto  
   
Paper: Testing the Conditional CAPM using GARCH-type Models without any other Restrictions 
Presenter: Mark Doolan, Queensland University of Technology  
Discussant:  Georgios Skoulakis, University of British Columbia  
   
SESSION: I.2

Capital Structure

CROWNE I
CHAIR: Lee Dunham, Creighton University  
   
Paper: The Effect of Governmental Major Customers on Corporate Capital Structure  
Presenter: Saud Althaqeb, Kuwait University  
Discussant:  Lee Dunham, Creighton University  
   
Paper: Fixed Asset Revaluation and External Financing during the Financial Crisis: Evidence from Korea 
Presenter: Young Jun Kim, Hankuk University of Foreign Studies  
Discussant:  Saud Althaqeb, Kuwait University  
   
Paper: Does a CEO’s Hedging Ability Affect the Firm’s Capital Structure? 
Presenter: Lee Dunham, Creighton University  
Discussant:  Young Jun Kim, Hankuk University of Foreign Studies  
   
SESSION: I.3

Mutual Funds

CROWNE II
CHAIR: Thomas Ruf, University of New South Wales  
   
Paper: Smart Beta, Smart Money 
Presenter: Yeguang Chi, Shanghai Jiaotong University  
Discussant:  Nataliya Gerasimova, Norwegian School of Economics  
   
Paper: House of Funds 
Presenter: Nataliya Gerasimova, Norwegian School of Economics  
Discussant:  Thomas Ruf, University of New South Wales  
   
Paper: Chasing Ghosts: What Determines Flows Into Funds Without Performance Histories? 
Presenter: Thomas Ruf, University of New South Wales  
Discussant:  Yeguang Chi, Shanghai Jiaotong University  
   
SESSION: I.4

Investments II

CROWNE III
CHAIR: Ajai Singh, University of Central Florida  
   
Paper: Customer Capital, Talents and Stock Returns 
Presenter: Yan Ji, Hong Kong University of Science and Technology  
Discussant:  Alexandre Garel, Auckland University of Technology  
   
Paper: Business Cycles and the Cross-Section of Currency Returns 
Presenter: Steven Riddiough, University of Melbourne  
Discussant:  Yan Ji, Hong Kong University of Science and Technology  
   
Paper: Trading Restrictions and Supply Effects 
Presenter: Ajai Singh, University of Central Florida  
Discussant:  Steven Riddiough, University of Melbourne  
   
15:45 - 16:15 COFFEE/TEA BREAK ATRIUM
16:15 - 17:45 STREAM J 
   
SESSION: J.1

Corporate Finance IV

BOARDROOM
CHAIR: Xueping Wu, City University of Hong Kong  
   
Paper: Indirect Benefits of Financial Globalization: Evidence from Small Firms' Growth Opportunities 
Presenter: Dong Wook Lee, Korea University Business School  
Discussant:  Justin Nguyen, Victoria University of Wellington  
   
Paper: Economic Policy Uncertainty and Firm Tax Avoidance 
Presenter: Justin Nguyen, Victoria University of Wellington  
Discussant: Xueping Wu, City University of Hong Kong  
   
Paper: Advisors Lending to the Advised Acquirer as a Last Resort 
Presenter: Xueping Wu, City University of Hong Kong  
Discussant:  Dong Wook Lee, Korea University Business School  
   
SESSION: J.2

Corporate Finance V

CROWNE I
CHAIR: Ting Yang, Auckland University of Technology  
   
Paper: Waiting for Certainty: Effects of the Economic Policy Uncertainty on Firm's CSR Investment 
Presenter: Ji (George) Wu, Massey University  
Discussant:  Ting Yang, Auckland University of Technology  
   
Paper: The impact of corporate social responsibility on shareholder's wealth: Evidence from mergers 
Presenter: Yang Zhang, University of Technology Sydney  
Discussant:  Ji (George) Wu, Massey University  
   
Paper: Political Favouritism and Investment Efficiency 
Presenter: Ting Yang, Auckland University of Technology  
Discussant:  Yang Zhang, University of Technology Sydney  
   
SESSION: J.3

News and Market Reactions

CROWNE II
CHAIR: Leo Krippner, Reserve Bank of New Zealand  
   
Paper: December Doldrums, Investor Distraction, and Stock Market Reaction to Unscheduled News Events 
Presenter: Sudheer Chava, Georgia Institute of Technology  
Discussant:  Leo Krippner, Reserve Bank of New Zealand  
   
Paper: Political Speeches and Stock Market Outcomes  
Presenter: Anastasios Maligkris, University of Miami  
Discussant:  Sudheer Chava, Georgia Institute of Technology  
   
Paper: Asset market responses to conventional and unconventional monetary policy shocks in the United States 
Presenter: Leo Krippner, Reserve Bank of New Zealand  
Discussant:  Anastasios Maligkris, University of Miami  
   
SESSION: J.4

Debt Contracts

CROWNE III
CHAIR: Eliza Wu, University of Sydney  
   
Paper: Bond Covenants and Bankruptcy: The Good, the Bad, and the Irrelevant 
Presenter: Yaxuan  Qi, City University of Hong Kong  
Discussant:  Eliza Wu, University of Sydney  
   
Paper: Incentive Fees: Do they bond underwriters and IPO issuers? 
Presenter: Brahim Saadouni, University of Manchester  
Discussant: Yaxuan  Qi, City University of Hong Kong  
   
Paper: The Impact of Government Guarantees on Banks' Wholesale Funding Costs and Risk-taking: Evidence from a Natural Experiment 
Presenter: Eliza Wu, University of Sydney  
Discussant: Brahim Saadouni, University of Manchester