DAY 1 | Wednesday, 18th December 2019 | |
17:00 - 18:30 | REGISTRATION & WELCOME RECEPTION |
WG308
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DAY 2 | Thursday, 19th December 2019 | |
08:00 - 08:30 | REGISTRATION |
WG308
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08:30 - 10:15 | STREAM A | |
SESSION: A.1 | Derivatives and Alternative Investments |
WG801
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CHAIR:
| Yahua Xu, Central University of Finance and Economics
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Paper:
| The Dynamics of Extreme Price Movements in Cryptocurrencies | |
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Presenter:
| Christophe Desagre, Université Catholique de Louvain
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Discussant:
| Kotaro Miwa, Tokio Marine Asset Management
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Paper:
| Risk-Neutral Moment Estimators | |
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Presenter:
| Pakorn Aschakulporn, University of Otago
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Discussant:
| Feng Jiao, University of Lethbridge
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Paper:
| Volatility-of-volatility Risk in the Crude Oil Market
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Presenter:
| Yahua Xu, Central University of Finance and Economics
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Discussant:
| Stefan Greppmair, University of Mannheim
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SESSION: A.2
| Liquidity and Informed Trading |
WG803
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CHAIR:
| Christina Atanasova, Simon Fraser University
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Paper:
| The Price of International Equity ETF's: The Role of Relative Liquidity
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Presenter:
| Christina Atanasova, Simon Fraser University
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Discussant:
| Bart Frijns, Auckland University of Technology
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Paper:
| Informed Trading and Price Discovery in 90 Years | |
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Presenter:
| JinGi Ha, Auckland University of Technology
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Discussant:
| Floris Laly, Université Catholique de Louvain
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Paper:
| Splitting and Shuffling: Institutional Trading Motives and Order Submissions Across Brokers
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Presenter:
| Munhee Han, University of Texas - Dallas
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Discussant:
| JinGi Ha, Auckland University of Technology
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SESSION: A.3
| Corporate Governance, Ethics and Misconduct |
WG808
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CHAIR:
| Wolfgang Bessler, University of Giessen
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Paper:
| Corporate Fraud under Pyramidal Ownership Structure: Evidence from a Regulatory Reform |
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Presenter:
| Hojong Shin, California State University
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Discussant:
| Yongjia Lin, Macau University of Science and Technology | |
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Paper:
| Cultural diversity in the boardroom and corporate social performance | |
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Presenter:
| Olga Dodd, Auckland University of Technology
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Discussant:
| Michael Keefe, Victoria University of Wellington
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Paper:
| Corporate Governance and the Relevance of Shares with Unequal Voting Rights in Europe |
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Presenter:
| Wolfgang Bessler, University of Giessen
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Discussant:
| John Howe, University of Missouri - Columbia
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10:15 - 10:45
| COFFEE/TEA BREAK |
WG308
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10:45 - 12:30
| STREAM B | |
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SESSION: B.1
| Interest Rate Dynamics |
WG801
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CHAIR:
| Juan Angel Garcia, European Central Bank
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Paper:
| Trend inflation and inflation compensation
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Presenter:
| Juan Angel Garcia, European Central Bank
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Discussant:
| Ming-Jen Chang, National Dong Hwa University
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Paper:
| Real Interest Rate Parity in Practice: Evidence from Asia-Pacific Economies
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| Presenter:
| Ming-Jen Chang, National Dong Hwa University
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Discussant:
| Juan Angel Garcia, European Central Bank
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SESSION: B.2
| Commodities |
WG803
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CHAIR:
| Marinela Finta, University of Otago & Singapore Management University
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Paper:
| Fear or Hazards in Commodity Futures Markets
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Presenter:
| Adrian Fernandez-Perez, Auckland University of Technology
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Discussant:
| Loïc Maréchal, University of Neuchâtel
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Paper:
| Internationalization of Futures Markets: Lessons from China | |
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Presenter:
| Ivan Indriawan, Auckland University of Technology
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Discussant:
| Fang Zhen, Central University of Finance and Economics
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Paper:
| A comprehensive look at commodity volatility forecasting | |
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Presenter:
| Loïc Maréchal, University of Neuchâtel
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Discussant:
| Marinela Finta, University of Otago & Singapore Management University
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SESSION: B.3
| Empirical Corporate Finance: CEOs |
WG808
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CHAIR:
| Alireza Tourani-Rad, Auckland University of Technology
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Paper:
| CEO Power and Labor-friendly Policy
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Presenter:
| Humyra Jabeen Bristy, Macquarie University
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Discussant:
| Ting Yang, Auckland University of Technology
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Paper:
| Love or Money: The Effect of CEO Divorce on Firm Risk and Compensation
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Presenter:
| Jordan Neyland, George Mason University
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Discussant:
| Bin Yang, City University of Hong Kong
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Paper:
| CEO Succession Gap and Firm Performance
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Presenter:
| Renzhu Zhang, University of Otago
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Discussant:
| Olga Dodd, Auckland University of Technology
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SESSION: B.4
| Empirical Asset Pricing I |
WG809
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CHAIR:
| Tai-Yong Roh, Liaoning University
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Paper:
| Economic Policy Uncertainty and the Cross-Section of Corporate Bond Returns
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Presenter:
| Junbo Wang, City University of Hong Kong
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Discussant:
| Tai-Yong Roh, Liaoning University
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Paper:
| Do Accounting Information and Market Environment Matter for Cross Asset Predictability |
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Presenter:
| Narongdech Thakerngkiat, Massey University
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Discussant:
| Junbo Wang, City University of Hong Kong
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Paper:
| An Examination of Ex Ante Risk and Return in the Cross-Section Using Option-Implied Information |
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Presenter:
| Tai-Yong Roh, Liaoning University
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Discussant:
| Narongdech Thakerngkiat, Massey University
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12:30 - 13:30
| LUNCH BREAK |
WG308
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13:30 - 15:15
| STREAM C | |
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SESSION: C.1
| China |
WG801
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CHAIR:
| Michael Keefe, Victoria University of Wellington
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Paper:
| Board of director compensation in China: It pays to be connected
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Presenter:
| Michael Keefe, Victoria University of Wellington
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Discussant:
| Kazuo Yamada, Ritsumeikan University
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Paper:
| Innovation and ultimate controlling shareholders in China: Should the state shrink itself to residuals? |
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Presenter:
| Yongjia Lin, Macau University of Science and Technology
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Discussant:
| Hojong Shin, California State University
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SESSION: C.2
| Financial Econometrics |
WG803
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CHAIR:
| Christophe Desagre, Université Catholique de Louvain
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Paper:
| Asymmetric Signal and Skewness | |
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Presenter:
| Fang Zhen, Central University of Finance and Economics
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Discussant:
| Baoqing Gan, University of Technology Sydney
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Paper:
| Forward Premium Puzzle and Heterogeneous Beliefs
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Presenter:
| Feng Jiao, University of Lethbridge
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Discussant:
| Yahua Xu, Central University of Finance and Economics
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Paper:
| Risk premium spillovers among stock markets: Evidence from higher-order moments |
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Presenter:
| Marinela Finta, University of Otago & Singapore Management University
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Discussant:
| Christophe Desagre, Université Catholique de Louvain
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SESSION: C.3
| Market Microstructure |
WG808
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CHAIR:
| Kotaro Miwa, Tokio Marine Asset Management
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Paper:
| Closing Time: Effects of the closing mechanism and design on market quality | |
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Presenter:
| Ester Felez Vinas, University of Technology Sydney
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Discussant:
| Munhee Han, University of Texas - Dallas
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Paper:
| A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy |
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Presenter:
| Jose Da Fonseca, Auckland University of Technology
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Discussant:
| Anirban Banerjee, Indian Institute of Management
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Paper:
| Trading hours extension and intraday price behaviour
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Presenter:
| Kotaro Miwa, Tokio Marine Asset Management
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Discussant:
| Ivan Indriawan, Auckland University of Technology
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SESSION: C.4
| Risk |
WG809
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CHAIR:
| Gaiyan Zhang, University of Missouri - St. Louis
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Paper:
| How Do Mergers and Acquisitions Affect Information Asymmetry in the Banking Sector? |
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Presenter:
| John Howe, University of Missouri - Columbia
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Discussant:
| Shida Liu, Tsinghua University
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Paper:
| Joint Determination of Counterparty and Liquidity Risk in Payment Systems | |
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Presenter:
| Jorge Cruz Lopez, Western University
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Discussant:
| Gaiyan Zhang, University of Missouri - St. Louis
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Paper:
| The Cross-Section of Credit Risk Premium and Corporate Bond Returns
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Presenter:
| Zhenling Zhao, City University of Hong Kong
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Discussant:
| Hang Wang, University of New South Wales
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15:15 - 15:45
| COFFEE/TEA BREAK |
WG308
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15:45 - 17:30
| STREAM D | |
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SESSION: D.1
| Credit Risk |
WG801
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CHAIR:
| Jorge Cruz Lopez, Western University
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Paper:
| Cross Country Linkages and Transmission of Sovereign Risk: Evidence from Global Credit Default Swaps Markets |
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Presenter:
| Gaiyan Zhang, University of Missouri - St. Louis
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Discussant:
| Jorge Cruz Lopez, Western University
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Paper:
| Credit Ratings and Firm Innovation: Evidence from Sovereign Downgrades | |
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Presenter:
| Rui Wang, Lingnan University
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Discussant:
| Dewan Rahman, University of Queensland
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Paper:
| How Do Regulations Affect Credit Rating? Evidence from the Upgrades in the Chinese Banking Sector |
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Presenter:
| Shida Liu, Tsinghua University
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Discussant:
| Zhenling Zhao, City University of Hong Kong
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SESSION: D.2
| Corporate Investment and Innovation |
WG803
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CHAIR:
| Viet Duc Nguyen, Australian National University
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Paper:
| R&D Investment Decisions in Business Groups: Evidence from a Natural Experiment |
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Presenter:
| Hojong Shin, California State University, Long Beach
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Discussant:
| Viet Duc Nguyen, Australian National University
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Paper:
| Inventory as a Liquidity Provision Channel
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Presenter:
| Kazuo Yamada, Ritsumeikan University
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Discussant:
| Humyra Jabeen Bristy, Macquarie University
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Paper:
| Does product market competition affect a firm's investment horizon? | |
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Presenter:
| Viet Duc Nguyen, Australian National University
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Discussant:
| Christina Atanasova, Simon Fraser University
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SESSION: D.3
| Return Dynamics |
WG808
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CHAIR:
| Mason Prasad, Western Sydney University
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Paper:
| Is the tracking error time varying? Evidence from agricultural ETCs | |
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Presenter:
| Devmali Perera, University of Canterbury
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Discussant:
| Shida Liu, Tsinghua University | |
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Paper:
| Investor sentiment and the economic policy uncertainty premium |
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Presenter:
| Ji (George) Wu, Massey University
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Discussant:
| Mason Prasad, Western Sydney University
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Paper:
| Examination of Information Release on Return Volatility: A Market and Sectoral Analysis |
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Presenter:
| Mason Prasad, Western Sydney University
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Discussant:
| Devmali Perera, University of Canterbury
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18:30 - 20:00
| SKY CAFE, SKY TOWER: Social/Networking Event (Drinks & Canapés) | |
| | | |
DAY 3 | Friday, 20th December 2019 | |
| 09:00 - 09:30 | REGISTRATION |
WG308
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09:30 - 11:15
| STREAM E | |
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SESSION: E.1
| Corporate Events: IPOs and M&As |
WG801
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CHAIR:
| Pia Helbing, University of Leeds
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Paper:
| The signalling role of trademarks: Evidence from IPO underpricing | |
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Presenter:
| Bin Yang, City University of Hong Kong
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Discussant:
| Pia Helbing, University of Leeds
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Paper:
| Real Effects of Possible Stock Recalls on Acquirer Stocks: Empirical Evidence from Lower Merger and Acquisition Premiums |
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Presenter:
| Jan-Oliver Strych, Karlsruhe Institute of Technology
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Discussant:
| Jian Huang, Chinese University of Hong Kong
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Paper:
| Sell Or Die: What happens to firms after they withdraw from the IPO? | |
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Presenter:
| Pia Helbing, University of Leeds
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Discussant:
| Jan-Oliver Strych, Karlsruhe Institute of Technology
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SESSION: E.2
| Empirical Asset Pricing II |
WG803
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CHAIR:
| Jose Da Fonseca, Auckland University of Technology
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Paper:
| Lottery or asymmetric response to news: Why is skewness priced? | |
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Presenter:
| Hang Wang, University of New South Wales
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Discussant:
| Jose Da Fonseca, Auckland University of Technology
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Paper:
| Fundamental Factor Models and Macroeconomic Risks - An Orthogonal Decomposition |
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Presenter:
| Wolfgang Bessler, University of Giessen
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Discussant:
| Ji (George) Wu, Massey University
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Paper:
| Trend Factor in China
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Presenter:
| Fang Zhen, Central University of Finance and Economics
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Discussant:
| Wolfgang Bessler, University of Giessen
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SESSION: E.3
| Intraday Price Dynamics |
WG808
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CHAIR:
| Adrian Fernandez-Perez, Auckland University of Technology
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Paper:
| Investor Sentiment Under a Microscope | |
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Presenter:
| Baoqing Gan, University of Technology Sydney
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Discussant:
| Adrian Fernandez-Perez, Auckland University of Technology
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Paper:
| Spot, Futures, ETF or Stock: Who leads in Gold price discovery? |
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Presenter:
| Neharika Sobti, University of Delhi
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Discussant:
| Pakorn Aschakulporn, University of Otago
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SESSION: E.4
| Mutual Funds I |
WG809
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CHAIR:
| Timothy Riddiough, University of Wisconsin - Madison
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Paper:
| Do Mutual Fund Managers Care About Star Ratings? Evidence from Portfolio Pumping |
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Presenter:
| Sanghyun (Hugh) Kim, University of Texas - Dallas
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Discussant:
| Jun Chen, Auckland University of Technology
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Paper:
| The Myth of Sector Rotation | |
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Presenter:
| Sasha Molchanov, Massey University
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Discussant:
| Sanghyun (Hugh) Kim, University of Texas - Dallas
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Paper:
| Private Equity for the Common Man: Fees, Fund Flows & Performance | |
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Presenter:
| Timothy Riddiough, University of Wisconsin - Madison
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Discussant:
| Sasha Molchanov, Massey University
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11:15 - 10:45
|
COFFEE/TEA BREAK
|
WG308
|
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11:45 - 12:30
| STREAM F | |
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SESSION: F.1
| High Frequency Trading |
WG801
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CHAIR:
| Floris Laly, Université Catholique de Louvain
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Paper:
| Algorithmic Traders and Volatility Information Trading | |
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Presenter:
| Anirban Banerjee, Indian Institute of Management
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Discussant:
| Neharika Sobti, University of Delhi
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Paper:
| High-frequency traders and flash events: trading activity and liquidity dynamics around mini flash crashes |
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Presenter:
| Floris Laly, Université Catholique de Louvain
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Discussant:
| Ester Felez Vinas, University of Technology Sydney
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SESSION: F.2
| Empirical Corporate Finance II |
WG803
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CHAIR:
| Jordan Neyland, George Mason University
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Paper:
| Individualism, deeply-rooted overconfidence, and analyst information production |
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Presenter:
| Bart Frijns, Auckland University of Technology
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Discussant:
| Jordan Neyland, George Mason University
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Paper:
| Foreign Competition and New Product Creation: Evidence from Trademark Data | |
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Presenter:
| Jian Huang, Chinese University of Hong Kong
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Discussant:
| Renzhu Zhang, University of Otago
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SESSION: F.3
| Textual Analysis |
WG808
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CHAIR:
| Aaron Gilbert, Auckland University of Technology
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Paper:
| Does product market competition influence annual report readability? | |
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Presenter:
| Dewan Rahman, University of Queensland
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Discussant:
| Ayesha Scott, Auckland University of Technology
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Paper:
| Textual Opinion in Analyst Reports | |
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Presenter:
| Kotaro Miwa, Tokio Marine Asset Management
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Discussant:
| Aaron Gilbert, Auckland University of Technology
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SESSION: F.4
| Mutual Funds II |
WG809
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CHAIR:
| Rui Wang, Lingnan University
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| Paper: | When is board independence beneficial to mutual fund shareholders? Evidence from the 2001 SEC amendment |
| Presenter:
| JinGi Ha, Auckland University of Technology
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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
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Discussant:
| Rui Wang, Lingnan University
| |
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12:30 - 13:15
| LUNCH BREAK |
WG308
|
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13:15 - 14:15
| KEYNOTE: |
WG404
|
| | Henrik Cronqvist, University of Miami Business School | |
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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.
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15:30 - 22:30
| WAIHEKE TRIP & CONFERENCE DINNER | |