NZFM 2019 Academic Programme

DAY 1

Wednesday, 18th December 2019

 
17:00 - 18:30

REGISTRATION & WELCOME RECEPTION

WG308
   

DAY 2

Thursday, 19th December 2019

 
08:00 - 08:30

REGISTRATION

WG306
08:30 - 10:15

STREAM A

 
SESSION: A.1

Derivatives and Alternative Investments

WG801
CHAIR:Yahua Xu, Central University of Finance and Economics 
Paper: The Dynamics of Extreme Price Movements in Cryptocurrencies  
Presenter: Christophe Desagre, Université Catholique de Louvain  
Discussant:  Kotaro Miwa, Tokio Marine Asset Management  
Paper: Risk-Neutral Moment Estimators  
Presenter: Pakorn Aschakulporn, University of Otago  
Discussant:  Feng Jiao, University of Lethbridge  
Paper: Volatility-of-volatility Risk in the Crude Oil Market  
Presenter: Yahua Xu, Central University of Finance and Economics  
Discussant:  Stefan Greppmair, University of Mannheim  
SESSION: A.2

Liquidity and Informed Trading

WG803
CHAIR: Christina Atanasova,  Simon Fraser University 
Paper: The Price of International Equity ETF's: The Role of Relative Liquidity  
Presenter: Christina Atanasova,  Simon Fraser University  
Discussant:  Bart Frijns, Auckland University of Technology  
Paper: Informed Trading and Price Discovery in 90 Years  
Presenter: JinGi Ha, Auckland University of Technology  
Discussant:  Floris Laly, Université Catholique de Louvain 
Paper: Splitting and Shuffling: Institutional Trading Motives and Order Submissions Across Brokers
Presenter: Munhee Han, University of Texas - Dallas  
Discussant:  JinGi Ha, Auckland University of Technology  
SESSION: A.3

Corporate Governance, Ethics and Misconduct

WG808
CHAIR: Wolfgang Bessler, University of Giessen 
Paper: Corporate Fraud under Pyramidal Ownership Structure:  Evidence from a Regulatory Reform  
Presenter: Hojong Shin, California State University 
Discussant:  Jialun Yang, Tsinghua University  
Paper: Cultural diversity in the boardroom and corporate social performance  
Presenter: Olga Dodd, Auckland University of Technology  
Discussant:  Michael Keefe, Victoria University of Wellington  
Paper: Corporate Governance and the Relevance of Shares with Unequal Voting Rights in Europe
Presenter: Wolfgang Bessler, University of Giessen  
Discussant:  John Howe, University of Missouri - Columbia  
10:15 - 10:45

COFFEE/TEA BREAK

WG306
10:45 - 12:30

STREAM B

 
SESSION: B.1

Interest Rate Dynamics

WG801
CHAIR: Juan Angel Garcia, European Central Bank 
Paper: Trend inflation and inflation compensation  
Presenter: Juan Angel Garcia, European Central Bank  
Discussant:  Ming-Jen Chang, National Dong Hwa University  
Paper: Real Interest Rate Parity in Practice: Evidence from Asia-Pacific Economies  
Presenter: Ming-Jen Chang, National Dong Hwa University  
Discussant:  Sudarshan Kumar, IIM Ahmedabad  
Paper: Spanning Debate with Arbitrage-Free Nelson-Siegel framework  
Presenter: Sudarshan Kumar, IIM Ahmedabad  
Discussant:  Juan Angel Garcia, European Central Bank  
SESSION: B.2

Commodities

WG803
CHAIR: Marinela Finta, Otago University 
Paper: Fear or Hazards in Commodity Futures Markets  
Presenter: Adrian Fernandez-Perez, Auckland University of Technology  
Discussant:  Loïc Maréchal, University of Neuchâtel  
Paper: Internationalization of Futures Markets: Lessons from China  
Presenter: Ivan Indriawan, Auckland University of Technology  
Discussant:  Fang  Zhen, Central University of Finance and Economics  
Paper: A comprehensive look at commodity volatility forecasting  
Presenter: Loïc Maréchal, University of Neuchâtel  
Discussant:  Marinela Finta, Otago University  
SESSION: B.3

Empirical Corporate Finance: CEOs

WG808
CHAIR: Alireza Tourani-Rad, Auckland University of Technology 
Paper: CEO Power and Labor-friendly Policy  
Presenter: Humyra Jabeen Bristy, Macquarie University  
Discussant:  Alireza Tourani-Rad, Auckland University of Technology  
Paper: Love or Money: The Effect of CEO Divorce on Firm Risk and Compensation  
Presenter: Jordan Neyland, George Mason University  
Discussant:  Bin Yang, City University of Hong Kong  
Paper: CEO Succession Gap and Firm Performance  
Presenter: Renzhu Zhang, University of Otago  
Discussant:  Olga Dodd, Auckland University of Technology  
SESSION: B.4

Empirical Asset Pricing I

WG809
CHAIR: Tai-Yong Roh, Liaoning University 
Paper: Economic Policy Uncertainty and the Cross-Section of Corporate Bond Returns  
Presenter: Junbo Wang, City University of Hong Kong  
Discussant:  Tai-Yong Roh, Liaoning University  
Paper: Do Accounting Information and Market Environment Matter for Cross Asset Predictability
Presenter: Narongdech Thakerngkiat, Massey University  
Discussant:  Junbo Wang, City University of Hong Kong  
Paper: An Examination of Ex Ante Risk and Return in the Cross-Section Using Option-Implied Information
Presenter: Tai-Yong Roh, Liaoning University  
Discussant:  Narongdech Thakerngkiat, Massey University  
12:30 - 13:30

LUNCH BREAK

WG306
13:30 - 15:15

STREAM C

 
SESSION: C.1

China

WG801
CHAIR: Michael Keefe, Victoria University of Wellington 
Paper: Education and Innovation:  the Long Shadow of the Cultural Revolution  
Presenter: Jialun Yang, Tsinghua University  
Discussant:  Yongjia Lin, Macau University of Science and Technology  
Paper: Board of director compensation in China: It pays to be connected  
Presenter: Michael Keefe, Victoria University of Wellington  
Discussant:  Kazuo Yamada, Ritsumeikan University  
Paper: Innovation and ultimate controlling shareholders in China:  Should the state shrink itself to residuals?
Presenter: Yongjia Lin, Macau University of Science and Technology  
Discussant:  Hojong Shin, California State University 
SESSION: C.2

Financial Econometrics

WG803
CHAIR: Christophe Desagre, Université Catholique de Louvain 
Paper: Asymmetric Signal and Skewness  
Presenter: Fang  Zhen, Central University of Finance and Economics  
Discussant:  Baoqing Gan, University of Technology Sydney  
Paper: Forward Premium Puzzle and Heterogeneous Beliefs  
Presenter: Feng Jiao, University of Lethbridge  
Discussant:  Yahua Xu, Central University of Finance and Economics  
Paper: Risk premium spillovers among stock markets: Evidence from higher-order moments
Presenter: Marinela Finta, Otago University  
Discussant:  Christophe Desagre, Université Catholique de Louvain 
SESSION: C.3

Market Microstructure

WG808
CHAIR: Kotaro Miwa, Tokio Marine Asset Management 
Paper: Closing Time: Effects of the closing mechanism and design on market quality  
Presenter: Ester Felez Vinas, University of Technology Sydney  
Discussant:  Munhee Han, University of Texas - Dallas  
Paper: A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
Presenter: Jose Da Fonseca, Auckland University of Technology  
Discussant:  Anirban Banerjee, Indian Institute of Management 
Paper: Trading hours extension and intraday price behaviour  
Presenter: Kotaro Miwa, Tokio Marine Asset Management  
Discussant:  Ivan Indriawan, Auckland University of Technology  
SESSION: C.4

Risk

WG809
CHAIR: Gaiyan Zhang, University of Missouri - St. Louis 
Paper: How Do Mergers and Acquisitions Affect Information Asymmetry in the Banking Sector?
Presenter: John Howe, University of Missouri - Columbia  
Discussant:  Shida Liu,  Tsinghua University 
Paper: Joint Determination of Counterparty  and Liquidity Risk in Payment Systems  
Presenter: Jorge Cruz Lopez, Western University  
Discussant:  Gaiyan Zhang, University of Missouri - St. Louis  
Paper: The Cross-Section of Credit Risk Premium and Corporate Bond Returns  
Presenter: Zhenling Zhao, City University of Hong Kong  
Discussant:  Hang Wang, University of New South Wales  
15:15 - 15:45

COFFEE/TEA BREAK

WG306
15:45 - 17:30

STREAM D

 
SESSION: D.1

Credit Risk

WG801
CHAIR: Jorge Cruz Lopez, Western University 
Paper: Cross Country Linkages and Transmission of Sovereign Risk: Evidence from Global Credit Default Swaps Markets
Presenter: Gaiyan Zhang, University of Missouri - St. Louis  
Discussant:  Jorge Cruz Lopez, Western University  
Paper: Credit Ratings and Firm Innovation: Evidence from Sovereign Downgrades  
Presenter: Rui Wang, Lingnan University  
Discussant:  Dewan Rahman, University of Queensland  
Paper: How Do Regulations Affect Credit Rating? Evidence from the Upgrades in the Chinese Banking Sector
Presenter: Shida Liu, Tsinghua University 
Discussant:  Zhenling Zhao, City University of Hong Kong  
SESSION: D.2

Corporate Investment and Innovation

WG803
CHAIR: Viet Duc Nguyen, Australian National University 
Paper: R&D Investment Decisions in Business Groups:  Evidence from a Natural Experiment
Presenter: Hojong Shin, California State University, Long Beach  
Discussant:  Viet Duc Nguyen, Australian National University  
Paper: Inventory as a Liquidity Provision Channel  
Presenter: Kazuo Yamada, Ritsumeikan University  
Discussant:  Humyra Jabeen Bristy, Macquarie University  
Paper: Does product market competition affect a firm's investment horizon?  
Presenter: Viet Duc Nguyen, Australian National University  
Discussant:  Christina Atanasova,  Simon Fraser University  
SESSION: D.3

Return Dynamics

WG808
CHAIR: Mason Prasad, Western Sydney University 
Paper: Is the tracking error time varying? Evidence from agricultural ETCs  
Presenter: Devmali Perera, University of Canterbury  
Discussant:  Jialun Yang, Tsinghua University  
Paper: Investor sentiment and the economic policy uncertainty premium
Presenter: Ji (George) Wu, Massey University  
Discussant:  Mason Prasad, Western Sydney University  
Paper: Examination of Information Release on Return Volatility: A Market and Sectoral Analysis
Presenter: Mason Prasad, Western Sydney University  
Discussant:  Devmali Perera, University of Canterbury  
18:30 - 20:00

SKY CAFE, SKY TOWER:  Social/Networking Event (Drinks & Canapés)

 
   

DAY 3

Friday, 20th December 2019

 
08:15 - 08:30

REGISTRATION

WG306
08:30 - 10:15

STREAM E

 
SESSION: E.1

Corporate Events: IPOs and M&As

WG801
CHAIR: Pia Helbing, University of Leeds 
Paper: The signalling role of trademarks: Evidence from IPO underpricing  
Presenter: Bin Yang, City University of Hong Kong  
Discussant:  Pia Helbing, University of Leeds  
Paper: Real Effects of Possible Stock Recalls on Acquirer Stocks: Empirical Evidence from Lower Merger and  Acquisition Premiums
Presenter: Jan-Oliver Strych, Karlsruhe Institute of Technology  
Discussant:  Jian  Huang, Chinese University of Hong Kong   
Paper: Sell Or Die: What happens to firms after they withdraw from the IPO?  
Presenter: Pia Helbing, University of Leeds  
Discussant:  Jan-Oliver Strych, Karlsruhe Institute of Technology  
SESSION: E.2

Empirical Asset Pricing II

WG803
CHAIR: Jose Da Fonseca, Auckland University of Technology 
Paper: Lottery or asymmetric response to news: Why is skewness priced?  
Presenter: Hang Wang, University of New South Wales 
Discussant:  Jose Da Fonseca, Auckland University of Technology  
Paper: Fundamental Factor Models and Macroeconomic Risks - An Orthogonal Decomposition
Presenter: Wolfgang Bessler, University of Giessen  
Discussant:  Ji (George) Wu, Massey University  
Paper: Trend Factor in China  
Presenter: Jialun Yang, Tsinghua University  
Discussant:  Wolfgang Bessler, University of Giessen  
SESSION: E.3

Intraday Price Dynamics

WG808
CHAIR: Adrian Fernandez-Perez, Auckland University of Technology 
Paper: Investor Sentiment Under Microscope  
Presenter: Baoqing Gan, University of Technology Sydney  
Discussant:  Adrian Fernandez-Perez, Auckland University of Technology  
Paper: Spot, Futures, ETF or Stock: Who leads in Gold price discovery?
Presenter: Neharika Sobti, University of Delhi  
Discussant:  Pakorn Aschakulporn, University of Otago  
SESSION: E.4

Mutual Funds I

WG809
CHAIR: Timothy Riddiough, University of Wisconsin - Madison 
Paper: Do Mutual Fund Managers Care About Star Ratings? Evidence from Portfolio Pumping
Presenter: Sanghyun (Hugh) Kim, University of Texas - Dallas  
Discussant:  Jun Chen, Auckland University of Technology  
Paper: The Myth of Sector Rotation  
Presenter: Sasha Molchanov, Massey University  
Discussant:  Sanghyun (Hugh) Kim, University of Texas - Dallas  
Paper: Private Equity for the Common Man:  Fees, Fund Flows & Performance  
Presenter: Timothy Riddiough, University of Wisconsin - Madison  
Discussant:  Sasha Molchanov, Massey University  
10:15 - 10:45 COFFEE/TEA BREAK WG306
10:45 - 12:30

STREAM F

 
SESSION: F.1

High Frequency Trading

WG801
CHAIR: Floris Laly, Université Catholique de Louvain 
Paper: Algorithmic Traders and Volatility Information Trading  
Presenter: Anirban Banerjee, Indian Institute of Management 
Discussant:  Neharika Sobti, University of Delhi  
Paper: High-frequency traders and flash events: trading activity and liquidity dynamics around mini flash crashes
Presenter: Floris Laly, Université Catholique de Louvain  
Discussant:  Ester Felez Vinas, University of Technology Sydney  
SESSION: F.2

Empirical Corporate Finance II

WG803
CHAIR: Jordan Neyland, George Mason University 
Paper: Individualism, deeply-rooted overconfidence, and analyst information production
Presenter: Bart Frijns, Auckland University of Technology  
Discussant:  Jordan Neyland, George Mason University  
Paper: Foreign Competition and New Product Creation:  Evidence from Trademark Data  
Presenter: Jian  Huang, Chinese University of Hong Kong   
Discussant:  Renzhu Zhang, University of Otago  
SESSION: F.3

Textual Analysis

WG808
CHAIR: Aaron Gilbert, Auckland University of Technology 
Paper: Does product market competition influence annual report readability?  
Presenter: Dewan Rahman, University of Queensland  
Discussant:  Ayesha Scott, Auckland University of Technology  
Paper: Textual Opinion in Analyst Reports  
Presenter: Kotaro Miwa, Tokio Marine Asset Management  
Discussant:  Aaron Gilbert, Auckland University of Technology  
SESSION: F.4

Mutual Funds II

WG809
CHAIR: Rui Wang, Lingnan University 
Paper: When is board independence beneficial to mutual fund shareholders? Evidence from the 2001 SEC amendment
Presenter: JinGi Ha, Auckland University of Technology  
Discussant:  Timothy Riddiough, University of Wisconsin - Madison  
Paper: Systemic Risk Channels of Nonbank Financial Entities: Evidence from Hedge Funds and Mutual Funds
Presenter: Stefan Greppmair, University of Mannheim  
Discussant:  Rui Wang, Lingnan University 
12:30 - 13:30

LUNCH BREAK

WG306
13:30 - 14:30

KEYNOTE:

WG404
 

Henrik Cronqvist, University of Miami Business School

 
Abstract: Corporate finance is about understanding the determinants and consequences of the investment and financing policies of corporations. In a standard neoclassical profit maximization framework, rational agents, i.e., managers, make corporate finance decisions on behalf of rational principals, i.e., shareholders. Over the past two decades, there has been a rapidly growing interest in augmenting standard finance frameworks with novel insights from cognitive psychology, and more recently, social psychology and sociology. This emerging subfield in finance research has been dubbed behavioural corporate finance, which differentiates between rational and behavioural agents and principals.
15:00 - 22:15

WAIHEKE TRIP & CONFERENCE DINNER