2013 Auckland Finance Meeting
15-17 December 2013
AUT Business School
Auckland, New Zealand
The academic part of the meeting will commence on the morning of 16 December and finalizes around noon on 17 December. In the afternoon of the 17th a wine tour on the beautiful Waiheke Island will be organized.
PAPER SUBMISSION: The deadline for paper submission was 31 August 2013. Authors will be informed of the outcome of their submission by 1 October 2013.
REGISTRATION: Deadline for Early-bird registration is 21 October 2013 ($550 Academic Fee; $450 PhD students). Registrations after 21 October will be at the full registration fees ($750 Academic Fee; $650 PhD Students). Fees include welcome reception, conference dinner and Waiheke wine tour.
Monday, 16th December 2013, 8h30 to 10h30
Stream A.1 - Informed Trading - Room WG 902
Session Chair: Bart Frijns, Auckland University of Technology
08h30 to 09h10
Informed Trading Before Earnings Shock
Tae-Jun Park, Sungkyunkwan Univ
Youngjoo Lee, Sogang Univ
Kyojik Roy Song, Sungkyunkwan Univ
Discussant: Qiongbing Wu, Univ of Western Sydney
09h10 to 09h50
Disclosure of Debt Covenant Violations: The Probability of Informed Trading
Yushu Elizabeth Zhu, Univ of Queensland
Jennifer Gippel, Australian National Univ
Discussant: Bart Frijns, Auckland Univ of Technology
09h50 to 10h30
Informed Trade, Uninformed Trade, and Stock Price Delay
Narelle Gordon, Macquarie Univ
Qiongbing Wu, Univ of Western Sydney
Discussant: Ivan Indriawan, Auckland Univ of Technology
Stream A.2 – Investor Sentiment - WG903
Session Chair: Joakim Westerholm, Univ of Sydney
08h30 to 09h10
News Flow, Web Attention, and Extreme Returns in The European Financial Crisis
Andreas Chouliaras, Luxembourg School of Finance
Theoharry Grammatikos, Luxembourg School of Finance
Discussant: Joakim Westerholm, Univ of Sydney
09h10 to 09h50
Thanh Hyunh, Queensland Univ of Technology
Daniel Smith, Queensland Univ of Technology
Discussant: Marta Szymanowska, Erasmus Univ Rotterdam
09h50 to 10h30
Fear or Fundamentals? Speculation in The European Sovereign CDS market
Carl Chiarella, Univ of Technology Sydney
Saskia ter Ellen, Erasmus Univ Rotterdam
Xue-Zhong He, Univ of Technology Sydney
Eliza Wu, Univ of Technology Sydney
Discussant: Lamia Bekkour, Luxembourg School of Finance
Stream A.3 - Corporate Finance – WG 908
Session Chair: Alireza Tourani-Rad, Auckland University of Technology
08h30 to 09h10
Do Stock Options Accelerate the Growth of Startups?
Hidenori Takahashi, Kobe Univ
Discussant: Zianming Zhou, Univ of Hong Kong
09h10 to 09h50
Are You Paying Too much? Large Termination Fees and Merger Outcomes
Jordan Neyland, Univ of Melbourne
Chander Shekhar, Univ of Melbourne
Mengchen Yang, Univ of Melbourne
Discussant: Alireza Tourani-Rad, Auckland Univ of Technology
09h50 to 10h30
Sources of Value in Mergers and Acquisitions
Reza Yaghoubi, Waikato Univ
Discussant: Jordan Neyland, Univ of Melbourne
Monday 16th December 2013, 11h00 to 13h00
Stream B.1 - Algorithmic and High-Frequency Trading – WG 902
Session Chair: Jing Yu, Univ of Western Australia
11h00 to 11h40
High Frequency Trading and Market Volatility: Is There a Fundamental Association
Joakim Westerholm, Univ of Sydney
Discussant: Jing Yu, Univ of Western Australia
11h40 to 12h20
An Analysis of Limit Order Activities: The Benefits of Technology
Danny Lo, Univ of Technology Sydney
Discussant: Andreas Chouliaras, Luxembourg School of Finance
12h20 to 13h00
The Role of Algorithmic Trading in Stock Liquidity and Commonality in Electronic Limit Order Markets
Hiroshi Moriyasu, Nagasaki Univ
Marvin See, Univ of Western Australia
Jing Yu, Univ of Western Australia
Discussant: Danny Lo, Univ of Technology Sydney
Stream B.2 – Quantitative Finance - WG 903
Session Chair: Jonathan Ziveyi, Univ of New South Wales
11h00 to 11h40
Is Option-Implied Information Forward-Looking? An Application in Forecasting Market Regimes
Michelle Low, Univ of Melbourne
Discussant: Jonathan Ziveyi, Univ of New South Wales
11h40 to 12h20
Continuous and Jump Betas: Firm and Industry Level Evidence
Mardi Dungey, Univ of Tasmania
Wenying Yao, Univ of Tasmania
Discussant: Yakup Eser Arisoy, Univ Paris Dauphine
12h20 to 13h00
Pricing European Options and Deferred Annuities
Jonathan Ziveyi, Univ of New South Wales
Craig Blackburn, Univ of New South Wales
Michael Sherris, UNSW
Discussant: José Da Fonseca, Auckland Univ of Technology
Stream B.3 – Investments - WG 908
Session Chair: Adrian Lee, Univ of Technology Sydney
11h00 to 11h40
Fiscal Policy, Consumption Risk, and Stock Returns: Evidence from US States
Zhi Da, Univ of Notre Dame
Mitch Warachka, Claremont McKenna College
Hayong Yun, Michigan State Univ
Discussant: Klaus Grobys, Univ of Vaasa
11h40 to 12h20
Returns to Public Debt: The US Federal Budget Deficit and The Cross-Section of Equity Returns
Klaus Grobys, Univ of Vaasa
Discussant: Adrian Lee, Univ of Technology Sydney
12h20 to 13h00
Foreign Exchange Market and Equity Risk Premium Forecasting
Jun Tu, Singapore Management Univ
Yuchen Wang, Singapore Management Univ
Discussant: Michelle Low, Univ of Melbourne
Monday 16th December 2013, 14h00 to 16h00
Stream C.1 - Market Microstructure I – WG902
Session Chair: Rossella Agliardi, Università di Bologna
14h00 to 14h40
Hedging Through A Limit Order Book with Varying Liquidity
Rossella Agliardi, Università di Bologna
Ramazan Gençay, Simon Fraser Univ
Discussant: Lijian Wei, Univ of Technology Sydney
14h40 to 15h20
Learning and Evolution of Trading Strategies in Limit Order Markets
Carl Chiarella, Univ of Technology Sydney
Xue-Zhong He, Univ of Technology Sydney
Lijian Wei, Univ of Technology Sydney
Discussant: Qiaoqiao Zhu, Australian National Univ
15h20 to 16h00
Clustering and Mean Reversion in Hawkes Microstructure Models
José Da Fonseca, Auckland Univ of Technology
Riadh Zaatour, Ecole Centrale Paris
Discussant: Wenying Yao, Univ of Tasmania
Stream C.2 – Financial Econometrics – WG903
Session Chair: Yakup Eser Arisoy, Univ Paris Dauphine
14h00 to 14h40
Estimating The Global Component of New Zealand Interest Rate Moves
Michelle Lewis, Reserve Bank of New Zealand
Lauren Rosborough, Reserve Bank of New Zealand
Discussant: Ling Long, National Univ of Singapore
14h40 to 15h20
Aggregate Volatility Expectations and Threshold CAPM
Yakup Eser Arisoy, Univ Paris Dauphine
Discussant: Thanh Huynh, Queensland Univ of Technology
15h20 to 16h00
Volatility Transmission in Global Financial Markets
Adam Clements, Queensland Univ of Technology
Stan Hurn, Queensland Univ of Technology
Vladimir Volkov, Queensland Univ of Technology
Discussant: Vitali Alexeev, Univ of Tasmania
Stream C.3 – Corporate Finance II - WG908
Session Chair: Olubunmi Faleye, Northeastern Univ
14h00 to 14h40
Do the Initial Job Market Conditions Really Matter for CEO Pay?
Helena Cimerova, Auckland Univ of Technology
Discussant: Olubunmi Faleye, Northeastern Univ
14h40 to 15h20
Determinants of IPO Gross Spreads: Evidence from China
Yao Wang, Univ of Hong Kong
Xianming Zhou, Univ of Hong Kong
Discussant: Hidenori Takahashi, Kobe Univ
15h20 to 16h00
The Costs of A (Nearly) Fully Independent Board
Olubunmi Faleye, Northeastern Univ
Discussant: Helena Cimerova, Auckland Univ of Technology
Stream C.4 – Debt and Banking- WG907
Session Chair: Nikolaos Papanikolaou, Luxembourg School of Finance
14h00 to 14h40
Employee Inside Debt and Firm Risk-Taking Evidence from Employee Deposit Programs in Japan
Sudipto Dasgupta, Hong Kong Univ of Science and Technology
Yupeng Lin, National Univ of Singapore
Takeshi Yamada, Univ of Adelalide
Zilong Zhang, Hong Kong Univ of Science and Technology
Discussant: Reza Yaghoubi, Waikato Univ
14h40 to 15h20
How Subprime Borrowers and Mortgage Brokers Shared the Pie
Antje Berndt, North Carolina State Univ
Burton Hollifield, Carnegie Mellon Univ
Patrik Sandås, Univ of Virginia
Discussant: Nikolaos Papanikolaou, Luxembourg School of Finance
15h20 to 16h00
The Role of On-and-Off-Balance-Sheet Leverage of Banks in The Late 2000s Crisis
Nikolaos Papanikolaou, Luxembourg School of Finance
Christian Wolff, Luxembourg School of Finance
Discussant: Evan Gatev, Simon Fraser Univ
Monday 16th December 2013, 16h30 to 17h30
Keynote Address I – WG404
Market Rules
Keynote Speaker: Prof. Hank Bessembinder, Univ of Utah
Tuesday, 17th December 2013, 8h30 to 9h50
Stream D.1 – Fund Management - WG902
Session Chair: Christina Atanasova, Simon Fraser Univ
08h30 to 09h10
Funds and Hedge Funds Performance Persistence Under Difference Market States
Wei Cui, Univ of Sydney
Juan Yao, Univ of Sydney
Discussant: Iwan Meier, HEC Montreal
09h10 to 09h50
Familiarity Breeds Alternative Investment: Evidence from Corporate Defined-Benefit Pension Plans
Christina Atanasova, Simon Fraser Univ
Gilles Chemla, Imperial College Business School
Discussant: Takeshi Yamada, Univ of Adelaide
Stream D.2 - Sovereign Debt – WG 903
Session Chair: Antje Berndt, North Carolina State Univ
08h30 to 09h10
Intra-Regional Credit Contagion and Global Systematic Risk in International Sovereign Debt Markets
Elena Kalotychou, City Univ London
Eli Remolona, Bank for International Settlements
Eliza Wu, Univ of Technology Sydney
Discussant: Elettra Agliardi, Università di Bologna
09h10 to 09h50
Euro at Risk: The Impact of Member Countries’ Credit Risk on the Stability of the Common Currency
Lamia Bekkour, Luxembourg School of Finance
Xisong Jin, Luxembourg School of Finance
Thorsten Lehnert, Luxembourg School of Finance
Fanou Rasmouki, Luxembourg School of Finance
Christian Wolff, Luxembourg School of Finance
Discussant: Antje Berndt, North Carolina State Univ
Stream D.3 – Market Microstructure II – WG 907
Session Chair: Dennis Chung, Simon Fraser Univ
08h30 to 09h10
The Impact of Trading Floor Closure on Market Efficiency: Evidence from the Toronto Stock Exchange
Dennis Chung, Simon Fraser Univ
Karel Hrazdil, Simon Fraser Univ
Discussant: Yushu Zhu, Univ of Queensland
09h10 to 09h50
Macroeconomic News Announcements and Price Discovery: Evidence from Canadian-U.S. Cross-Listed Firms
Bart Frijns, Auckland Univ of Technology
Ivan Indriawan, Auckland Univ of Technology
Alireza Tourani-Rad, Auckland Univ of Technology
Discussant: Dennis Chung, Simon Fraser Univ
Stream D.4 – Investments II - WG908
Session Chair: Marta Szymanowska, Erasmus Univ Rotterdam
08h30 to 09h10
Equity Portfolio Diversification with High-Frequency Data
Vitali Alexeev, Univ of Tasmania
Mardi Dungey, Univ of Tasmania
Discussant: Ihsan Badshah, Auckland Univ of Technology
09h10 to 09h50
Sorting Out the Time-Varying Inflation Risk Premium
Martijn Boons, Universidade Nova de Lisboa
Frans de Roon, Tilburg Univ
Marta Szymanowska, Erasmus Univ Rotterdam
Discussant: Yuchen Wang, Singapore Management Univ
Tuesday, 17th December 2013, 10h10 to 11h30
Stream E.1 – Investments III - WG902
Session Chair: Mitch Warachka, Claremont McKenna College
10h10 to 10h50
Deep into Negative Territory: Who Negative Book Equity Stocks Are and Their Risk-Return Implications
Bob Li, Deakin Univ
Discussant: Christina Atanasova, Simon Fraser Univ
10h50 to 11h30
The Influence of Individual Investors on Ex-Dividend Day Returns
Andrew Ainsworth, Univ of Sydney
Adrian Lee, University of Univ Sydney
Discussant: Mitch Warachka, Claremont McKenna College
Stream E.2 – Corporate Finance III - WG903
Session Chair: Iwan Meier, HEC Montreal
10h10 to 10h50
The Relationship Between Firm Growth, Firm Cash Flow Volatility, Entrepreneurship and Values
Michael Keefe, Victoria Univ of Wellington
James Tate, Victoria Univ of Wellington
Discussant: Kyojik Roy Song, Sungkyunkwan Univ
10h50 to 11h30
Do Cash Flow Sensitivities Vary During Non-Crisis and Liquidity Crisis Periods and Across Countries?
Wolfgang Drobetz, Univ of Hamburg
Rebekka Haller, Univ of Hamburg
Iwan Meier, HEC Montreal
Vefa Tarhan, Loyola Univ Chicago
Discussant: Michael Keefe, Victoria Univ Wellington
Stream E.3 – Cross-Listing - WG907
Session Chair: Olga Dodd, Auckland Univ of Technology
10h10 to 10h50
The Home Stigma: Adverse Selection in ADRs and the Home Capital Market Environment
Qiaoqiao Zhu, Australian National Univ
Discussant: Olga Dodd, Auckland Univ of Technology
10h50 to 11h30
The Impact of NYSE Closure on Global Market Liquidity
Olga Dodd, Auckland Univ of Technology
Bart Frijns, Auckland Univ of Technology
Discussant: Eliza Wu
Stream E.4 –Hedge Funds and Time Variation - WG 908
Session Chair: Evan Gatev, Simon Fraser Univ
10h10 to 10h50
Hedge Funds as International Liquidity Providers: Evidence from Convertible Bond Arbitrage in Canada
Evan Gatev, Simon Fraser Univ
Mingxin Li, Simon Fraser Univ
Discussant: Wei Cui, Univ of Sydney
10h50 to 11h30
Estimating Time-Varying Currency Betas: New Evidence from Nine Developed and Emerging Markets
Ling Long, National Univ of Singapore
Albert Tsui, National Univ of Singapore
Zhaoyong Zhang, Edith Cowan Univ
Discussant: Vladimir Volkov, Queensland Univ of Technology
Tuesday 17th December 2013, 11h40 to 12h40
Keynote Address II – WG404
Yesterday’s Tomorrows: Past Visions of Future Financial Markets
Keynote Speaker: Prof. Robert I. Webb, Univ of Virginia