Academic Programme

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

News Sentiment and Momentum

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