2017 Auckland Finance Meeting
2017 AFM was hosted in Queenstown.
18th to 20th December 2017, Queenstown, New Zealand
The Auckland Centre for Financial Research at the Faculty of Business and Law, Auckland University of Technology is hosting its 7th Auckland Finance Meeting on 18 - 20 December 2017. The focus of the conference is broad and includes all areas of finance.
The conference will be hosted at the Crowne Plaza Queenstown which is in central Queenstown within walking distance of many restaurants and cafes. The conference dinner will be hosted at the Skyline Queenstown with spectacular views. For more information on Queenstown Tourism click here. To book your accommodation please click here.
KEYNOTE SPEAKERS:
Prof. Darrell Duffie - Dean Witter Distinguished Professor of Finance, Stanford University
Prof. Robert I. Webb - Paul Tudor Jones II Research Professor, University of Virginia
SPECIAL ISSUE:
A special issue of the Pacific-Basin Finance Journal based on papers presented at the 2017 Auckland Finance Meeting will be dedicated to this conference.
OUR SPONSORS:
PAPER SUBMISSION:
The deadline for paper submission was 11 August 2017. Authors were informed of the outcome of their submission by the end of August 2017.
DOCTORAL SYMPOSIUM:
A doctoral symposium will be hosted on 18 December leading in to the conference. Doctoral students are invited to submit either a chapter or paper based on a chapter to this symposium. Please submit your chapter/paper via email to afm@aut.ac.nz with subject line “Doctoral Symposium Submission”. The deadline for submissions to the doctoral symposium is 11 August 2017.
AWARDS:
Best Paper Award (NZ$2,000) Sponsored by the NZ Superfund
Runner-up Award (NZ$1,000) Sponsored by the NZ Superfund
CFA Institute Asia-Pacific Capital Markets Research Award (US$1,000) (Deadline 01/12/2017)
For information of how to apply for this award, please click here.
Pacific-Basin Finance Journal Research Excellence Award (US$1,000)
SIRCA Paper Award ($1,000)
Auckland Centre for Financial Research Doctoral Symposium Award (NZ$750)
MEETING ORGANIZER:
Bart Frijns, Professor of Finance, AUT University
CROWNE PLAZA, QUEENSTOWN
Auckland Finance Meeting 2017, in Queenstown NZ
Full Programme PDF Version *A printed version will be in your conference pack*
Please download the 
App for a mobile version of the full AFM Programme or scan the QR code above.
The passphrase is "afm2017zqn"
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 | |
2017 Doctoral Symposium, Queenstown, New Zealand
CROWNE PLAZA, QUEENSTOWN
Monday, 18 December 2017 07:30 - 17:30
| 07:30 - 08:00 | REGISTRATION | ATRIUM |
| 08:00 - 10:00 | SESSION 1 | BOARDROOM |
| CHAIR: | PROFESSOR WOLFGANG BESSLER, JUSTUS-LIEBIG UNIVERSITY GIESSEN | |
| Paper: | Global warming and asset pricing | |
| Presenter: | Mihir Tirodkar (University of Auckland) | |
| Discussant: | Xiping Li (Massey University) | |
| Paper: | Stock Market Liquidity and Trading Activity: Is China Different? | |
| Presenter: | Rui Ma (Massey University) | |
| Discussant: | Shuang Liu (University of Sydney) | |
| Paper: | Persistence of Hedge Funds | |
| Presenter: | Mui Kuen Yuen (Massey University) | |
| Discussant: | Brett Doran (Griffith University) | |
| 10:00 - 10:30 | COFFEE/TEA BREAK | ATRIUM |
| 10:30 - 12:30 | SESSION 2 | BOARDROOM |
| CHAIR: | PROFESSOR ROBERT FAFF, UNIVERSITY OF QUEENSLAND | |
| Paper: | The Trimmed Bootstrap: Evidence from international markets and inflation adjusted returns | |
| Presenter: | Brett Doran (Griffith University) | |
| Discussant: | Mui Kuen Yuen (Massey University) | |
| Paper: | What Drives the Dispersion Effect, Investor Sentiment or Conditional Equity Premium? | |
| Presenter: | Shuang Liu (University of Sydney) | |
| Discussant: | Rui Ma (Massey University) | |
| Paper: | Investigation of systemic risk contribution using an accounting based measure | |
| Presenter: | Xiping Li (Massey University) | |
| Discussant: | Mihir Tirodkar (University of Auckland) | |
| 12:30 - 13:30 | LUNCH BREAK | THREESIXTY |
| 13:30 - 15:00 | SESSION 3.1 | BOARDROOM |
| CHAIR: | PROFESSOR ANAND VIJH, UNIVERSITY OF IOWA | |
| Paper: | Market Competition and Corporate Innovation Relation: Revisit and New Insights | |
| Presenter: | Chong Chen (City University of Hong Kong) | |
| Discussant: | John Fan Zhang (Auckland University of Technology) | |
| Paper: | Cultural Diversity and capital structures of multinational firms | |
| Presenter: | John Fan Zhang (Auckland University of Technology) | |
| Discussant: | Chong Chen (City University of Hong Kong) | |
| 15:00 - 15:30 | COFFEE/TEA BREAK | ATRIUM |
| 15:30 - 17:00 | SESSION 3.2 | BOARDROOM |
| Paper: | Watching the Wolves: Unveiling the Moderating Role of Corporate Governance on CEO Power | |
| Presenter: | Lubna Rahman (UNSW) | |
| Discussant: | Xioli Wan (University of Auckland) | |
| Paper: | Optimal Contracting in a Principal-Agent-Subagent Model | |
| Presenter: | Qing Liu (Boston University) | |
| Discussant: | Lubna Rahman (UNSW) | |
| Paper: | Financial Globalization and the International Transmission of Interest Rate Shocks: The Federal Reserve and China | |
| Presenter: | Xioli Wan (University of Auckland) | |
| Discussant | Qing Liu (Boston University) | |
| 17:30 - 18:30 | WELCOME RECEPTION | ATRIUM/COURTYARD |