Academic Programme

FULL PROGRAMME FOR AFM 2016

Saturday, 17th December 2016

Stream A.1 – Financial Econometrics
Session Chair: Professor Robert I. Webb, University of Virginia

08h00 to 08h35
Modelling Intraday Correlations using Multivariate GARCH
Adam Clements, Queensland University of Technology
Ayesha Scott, Auckland University of Technology
Annastiina Silvennoinen, Queensland University of Technology
Discussant: Jin Zhang, University of Otago

08h35 to 09h10
Correlated Volatility Shocks
Xiao Qiao, University of Chicago
Yongning Wang, University of Chicago
Discussant: Vitali Alexeev , University of Technology Sydney

09h10 to 09h45
Information Shares in Stationary Time Series and Global Volatility Discovery
Rainer Baule, University of Hagen
Bart Frijns, Auckland University of Technology
Milena E. Tieves, University of Hagen
Discussant: Xiao Qiao, University of Chicago

Stream A.2 – Return Predictability
Session Chair: Sonja Kobinger, Griffith University

08h00 to 08h35
Can Investor Sentiment Be a Momentum Time-Series Predictor? Evidence from China
Xing Han, Ghent University
Youwei Li, Queen’s University Belfast
Discussant: Sonja Kobinger , Griffith University

08h35 to 09h10
Stock return predictability of out-of-the-money option trading
Chang-Mo Kang, University of New South Wales
Donghyun Kim, University of Wisconsin-Milwaukee
Geul Lee, University of New South Wales
Discussant: Xing Han, Ghent University

09h10 to 09h45
Long-Term Time Series Reversal: International Evidence
Sonja Kobinger, Griffith University
Graham Bornholt, Griffith University
Mirela Malin, Griffith University
Discussant: Chang-Mo Kang, University of New South Wales

Stream A.3 – Corporate Finance
Session Chair: Kelvin Tan, University of Queensland

08h00 to 08h35
Got information? The efficiency of price discovery of qualitative and quantitative corporate disclosures
Dennis Y. Chung, Simon Fraser University
Karel Hrazdil, Simon Fraser University
Jiri Novak, Charles University in Prague
Nattavut Suwanyangyuan, Simon Fraser University
Discussant: Alireza Tourani-Rad, Auckland University of Technology

08h35 to 09h10
Information Uncertainty and Target Valuation in Mergers and Acquisitions
Ou (Owen) Liu,  Xi’an Jiaotong-Liverpool University
Lin (Jack) Li, Hong Kong Polytechnic University
Zhonghui Shi, Xi’an Jiaotong-Liverpool University
Discussant: Karel Hrazdil, Simon Fraser University

09h10 to 09h45
Optimism or Over-Precision?  What Drives the Role of Overconfidence in Managerial Decisions?
Ronghong Huang, University of Queensland
Kelvin Tan, University of Queensland
Johan Sulaeman, National University of Singapore
Robert Faff, University of Queensland
Discussant: Amir Barnea, HEC Montréal

Stream A.4 – Behavioral Finance
Session Chair: Robert B. Durand, Curtin University

08h00 to 08h35
Are Lucky Endings the Optimal Price Setting?
Danika Wright, University of Sydney
Discussant: Zhe Shen, Xiamen University

08h35 to 09h10
Do investors save trading for a rainy day?
Jessica Y. Wang, Nottingham Trent University
Raphael N. Markellos, University of East Anglial
Discussant: Danika Wright , University of Sydney

09h10 to 09h45
Myopic Loss Aversion, Personality and Gender
Robert B. Durand, Curtin University
Lucia Fung, Hong Kong Baptist University
Manapon Limkriangkrai, Monash University
Discussant: Jun Myung Song, University of New South Wales

Stream A.5 – International Equity Markets
Session Chair: Ben R. Marshall, Massey University

08h00 to 08h35
Time-varying Contemporaneous Spillovers during the European Debt Crisis
Marinela Finta, Auckland University of Technology
Bart Frijns, Auckland University of Technology
Alireza Tourani-Rad, Auckland University of Technology
Discussant: Massaporn Cheuathonghua, Thammasat University

08h35 to 09h10
Asymmetric Investor Sentiment Spillovers in International Equity Markets
Massaporn Cheuathonghua, Thammasat University
Pattana Boonchoo, Thammasat University
Chaiyuth Padungsaksawasdi, Thammasat University
Discussant: Maria E. de Boyrie, New Mexico State University

09h10 to 09h45
Country Governance and International Equity Returns
Ben R. Marshall, Massey University
Hung T. Nguyen, Monash University
Nhut H. Nguyen, Massey University
Nuttawat Visaltanachoti, Massey University
Discussant: Ilya Dergunov, Goethe Universitat Frankfurt

Sessions B - 10h15 to 12h00
Stream B.1 – Financial Econometrics
Session Chair: Jin E. Zhang, University of Otago

10h15 to 10h50
Time varying price discovery in VIX Exchange Traded Notes: A tale of retail vs. institutional trades
Adrian Fernandez-Perez, Auckland University of Technology
Bart Frijns, Auckland University of Technology
Ilnara Gafiatulina , Auckland University of Technology
Alireza Tourani-Rad, Auckland University of Technology
Discussant: Thu Phuong Pham, University of Adelaide

10h50 to 11h25
VIX Futures ETNs: Tracking Efficiency, Consistency and Price Discovery
Sebastian A. Gehricke, University of Otago
Jin E. Zhang, University of Otago
Discussant: Ilnara Gafiatulina, Auckland University of Technology

11h25 to 12h00
The CBOE Skew
Fang Zhen, University of Otago
Jin E. Zhang, University of Otago
Discussant: Bowei Li, University of Melbourne

Stream B.2 – Mergers and Acquisitions
Session Chair: Jordan B. Neyland, University of Melbourne

10h15 to 10h50
Do Firm- and Country-level Information Environments Play a Role in Shaping the Rival Responses of Target Firms?
Zhe An, Monash University
Zhian Chen, University of New South Wales
Donghui Li, Jinan University
Michael Murong, University of New South Wales
Discussant: Jordan B. Neyland, University of Melbourne

10h50 to 11h25
The Value of Access to Finance: Evidence from M&A
Jess Cornaggia, Georgetown University
Jay Y. Li, City University of Hong Kong
Discussant: Zhe An, Monash University

11h25 to 12h00
Financing Acquisitions with Earnouts
Thomas W. Bates, Arizona State University
Jordan B. Neyland, University of Melbourne
Yolanda Wang, University of Melbourne
Discussant: Jay Y. Li, City University of Hong Kong

Stream B.3 – International Diversification
Session Chair: Ilya Dergunov, Goethe Universitat Frankfurt

10h15 to 10h50
Where to hide in bad times: Or should one still diversify internationally?
Redouane Elkamhi, University of Toronto
Discussant: Ben R. Marshall, Massey University

10h50 to 11h25
Linkages between Equity and Commodity Markets: Are Emerging Markets Different?
Maria E. de Boyrie, New Mexico State University
Ivelina Pavlova, University of Houston
Discussant: Redouane Elkamhi, University of Toronto

11h25 to 12h00
International portfolio diversification and macroeconomic fluctuations when preferences are time-varying
Giuliano Curatola, Goethe Universitat Frankfurt
Ilya Dergunov, Goethe Universitat Frankfurt
Discussant: Yeguang Chi, Shanghai Jiaotong University

Stream B.4 – Corporate Finance
Session Chair: Jia Chen, Peking University

10h15 to 10h50
Leverage and the Japanese Financial Crisis
Joye Khoo, Curtin University
Robert B. Durand, Curtin University
Discussant: Christina Atanasova, Simon Fraser University

10h50 to 11h25
When do banks mitigate investment inefficiency?
Bart Frijns, Auckland University of Technology
Tu Cam Ho, Auckland University of Technology
Alireza Tourani-Rad, Auckland University of Technology
Discussant: Robert B. Durand , Curtin University

11h25 to 12h00
Market Transparency and Pricing Efficiency: Evidence from Corporate Bond Market
Jia Chen, Peking University
Ruichang Lu, Peking University
Discussant: Tu Cam Ho , Auckland University of Technology

Stream B.5 – Finance Theory
Session Chair: Michael O’Connor Keefe, Victoria University of Wellington

10h15 to 10h50
The Performance of Governmental Venture Capital Firms: A Life Cycle Perspective and Evidence from China
Yuejia (Aria) Zhang, University of Auckland
David Geoffrey Mayes, University of Auckland
Discussant: Lin William Cong, University of Chicago

10h50 to 11h25
Intervention Policy in a Dynamic Environment: Coordination and Learning
Lin William Cong, University of Chicago
Steven Grenadier, Stanford University
Yunzhi Hu, University of Chicago
Discussant: Michael O’Connor Keefe, Victoria University of Wellington

11h25 to 12h00
A theory of political connections through lender compensation, enforcement, and social objectives on interest rates, access to credit, and investment
Michael O’Connor Keefe, Victoria University of Wellington
Discussant: Yuejia (Aria) Zhang, University of Auckland


K.1 - 2h15 to 13h15
Keynote Address I

Professor Russ Wermers, University of Maryland

Shadow Banking:  The Financial Crisis, New Regulatory Developments, and the Resulting Impact on the Real and Financial Sectors

The so-called “shadow banking” sector—which comprises (among others) money market mutual funds, repo markets, securities lending, and short-term (unregistered) investment funds—has undergone rapid change since the Financial Crisis and its ensuing regulatory changes. An emerging research seeks to understand the effects of these events on each area of shadow banking, as well as on the short-term financing of non-financial corporations and financial institutions. This talk will discuss this recent research, and will also discuss areas where more research is needed—including a discussion of the behavior of heterogeneous investors in moving money between shadow banks as well as new databases that have become available on the activities of shadow banks.


Sessions C - 14h00 to 15h45
Stream C.1 – Mutual Funds
Session Chair: Remco Zwinkels, VU Amsterdam

14h00 to 14h35
Timing is Money: The Factor Timing Ability of Hedge Fund Managers
Albert Jakob Osinga, KAS Bank
Marc B.J. Schauten, VU Amsterdam
Remco C.J. Zwinkels, VU Amsterdam and Tinbergen Institute
Discussant: Li Xie, Xi'an Jiaotong-Liverpool University

14h35 to 15h10
Common Holdings in Mutual Fund Family
Jean Chen, University of Liverpool
Li Xie, Xi'an Jiaotong-Liverpool University
Si Zhou, University of Southampton
Discussant: Woraphon Wattanatorn , PTT Public Company Limited

15h10 to 15h45
Liquidity Timing in the Higher Moment Framework: Evidence from Bank Affiliated Fund
Woraphon Wattanatorn, PTT Public Company Limited
Chaiyuth Padungsaksawasdi, Thammasat University
Pornchai Chunhachinda, Thammasat University
Sarayut Nathaphan, Mahidol University International College
Discussant: Bart Frijns, Auckland University of Technology

Stream C.2 – Corporate Ownership
Session Chair: Jean-Philippe Weisskopf, Ecole hôtelière de Lausanne

14h00 to 14h35
Investor Horizons and Employee Satisfaction
Alexandre Garel, Auckland University of Technology
Arthur Petit-Romec, ESCP Europe
Discussant: Lin (Jack) Li, Hong Kong Polytechnic University

14h35 to 15h10
Monitors or Certifiers? Different Roles of Private Equity Firms at Different Timing of Investments
Wei-Huei (Wendy) Hsu, Massey University
Martin Young, Massey University
Discussant: Arthur Petit-Romec, ESCP Europe

15h10 to 15h45
Ownership structure, asset intensity and firm performance
Philippe Masset, Ecole hôtelière de Lausanne
Jean-Philippe Weisskopf, Ecole hôtelière de Lausanne
Discussant: Jia Chen , Peking University

Stream C.3 – Market Microstructure
Session Chair: Aaron Gilbert, Auckland University of Technology

14h00 to 14h35
Intra-Day Revelation of Counterparty Identity in the World’s Best-Lit Market
Thu Phuong Pham, University of Adelaide
Peter L. Swan, University of New South Wales
P. Joakim Westerholm, University of Sydney
Discussant: Aaron Gilbert, Auckland University of Technology

14h35 to 15h10
Inside the “black box” of Private In-house Meetings Implications for Fair Disclosure and Insider Trading Regulation
Robert M. Bowen, University of San Diego
Shantanu Dutta, University of Ottawa
Songlian Tang, East China University of Science and Technology
Pengcheng (Phil) Zhu, University of San Diego
Discussant: Fei Su, University of Technology Sydney

15h10 to 15h45
The Informational Impact of USDA Reports on The Trading Costs of Agricultural Commodities Futures
Adrian Fernandez-Perez, Auckland University of Technology
Bart Frijns, Auckland University of Technology
Ivan Indriawan, Auckland University of Technology
Alireza Tourani-Rad, Auckland University of Technology
Discussant: Andrew Lepone, Macquarie Graduate School of Management

Stream C.4 – Corporate Finance
Session Chair: Chao Chen, Fudan University

14h00 to 14h35
An Empirical Model of the International Cost of Equity
Engin Küçükkaya, Middle East Technical University
Mehmet Uzunkaya, Middle East Technical University
Discussant: Sanaullah Farooq , Auckland University of Technology

14h35 to 15h10
Impact of Corporate Governance on Overinvestment and Underinvestment: An Examination of ASX Listed Companies
Sanaullah Farooq, Auckland University of Technology
Aaron Gilbert, Auckland University of Technology
Alireza Tourani-Rad, Auckland University of Technology
Discussant: Chao Chen, Fudan University

15h10 to 15h45
Internationalization and Market Valuation: Evidence from China
Chao Chen, Fudan University
Lishuai Lian, East China Normal University
Gerald J. Lobo, University of Houston
Discussant: Engin Küçükkaya, Middle East Technical University

Stream C.5 – Banking
Session Chair: Alexander Bleck, University of British Columbia

14h00 to 14h35
Bonanzas, Booms and Banking Crises
Kuntal Das, University of Canterbury
Joe Stuart, University of Canterbury
Discussant: Abhik Mukherjee, École Polytechnique Fédérale de Lausanne

14h35 to 15h10
Is Bank Capital Regulation Costly for Firms? – Evidence from Syndicated Loans
Luisa Lambertini, École Polytechnique Fédérale de Lausanne
Abhik Mukherjee, École Polytechnique Fédérale de Lausanne
Discussant: Alexander Bleck, University of British Columbia

15h10 to 15h45
Risk-insensitive Regulation
Alexander Bleck, University of British Columbia
Discussant: Kuntal Das, University of Canterbury

Stream C.6 – Empirical Asset Pricing
Session Chair: Robert Ready, University of Rochester

14h00 to 14h35
Tradable Goods Sector Productivity Shocks and Asset Prices
Ruchith Dissanayake, University of Alberta
Discussant: Adrian Fernandez-Perez, Auckland University of Technology

14h35 to 15h10
Harvesting Commodity Risk Premia
Adrian Fernandez-Perez, Auckland University of Technology
Joelle Miffre, EDHEC Business School
Ana-Maria Fuertes, Cass Business School
Discussant: Robert Ready, University of Rochester

15h10 to 15h45
Fracking, Drilling and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution
Erik Gilje, University of Pennsylvania
Robert Ready, University of Rochester
Nikolai Roussanov, University of Pennsylvania, and NBER
Discussant: Ruchith Dissanayake, University of Alberta


K.2 - 16h00 to 17h00
Keynote Address II

Professor Robert I. Webb, University of Virginia

Crowded Trade Risk and Trader Induced Volatility

The sudden unwinding of “crowded trade” positions exacerbates price moves and creates volatility. Such events may occur on their own or be precipitated by the actions of other market participants (intentionally or not). Whatever the cause, the volatility that accompanies the unwinding of crowded trades is largely unrelated to economic fundamentals. It is almost entirely trader-induced. This talk assesses the importance of crowded trade risk and other forms of trader-induced volatility and, discusses the implications for practitioners, policymakers and academics alike.


Sunday, 18th December 2016

Sessions D - 9h00 to 10h45
Stream D.1 – Financial Econometrics
Session Chair: José Da Fonseca, Auckland University of Technology

09h00 to 09h35
Jump Risk: A Cubic-Variation Approach
Fang Zhen, University of Otago
Jin E. Zhang, University of Otago
Discussant: Marinela Finta, Auckland University of Technology

09h35 to 10h10
A Jumping Index of Jumping Stocks?  An MCMC Analysis of Continuous-Time Models for Individual Stocks
Alessandro Pollastri, Maastricht University
Paulo Rodrigues, Maastricht University
Norman J. Seeger, VU University
Christian Schlag, Goethe University
Discussant: José Da Fonseca, Auckland University of Technology

10h10 to 10h45
Jump Activity Analysis for Affine Jump-diffusion Models: Evidences from the Commodity Market
José Da Fonseca, Auckland University of Technology
Katja Ignatieva, University of New South Wales
Discussant: Sebastian A. Gehricke , University of Otago

Stream D.2 – Corporate Finance Theory
Session Chair: Peter MacKay, Hong Kong University of Science and Technology

09h00 to 09h35
Default and liquidation timing under asymmetric information
Michi Nishihara, Osaka University
Takashi Shibata, Tokyo Metropolitan University
Discussant: Peter MacKay , Hong Kong University of Science and Technology

09h35 to 10h10
Economic Uncertainty, Aggregate Debt, and the Real Effects of Corporate Finance
Timothy C. Johnson, University of Illinois
Discussant: Michi Nishihara, Osaka University

10h10 to 10h45
Organization and Innovation under Costly Information
Fei Ding, Hong Kong University of Science and Technology
Peter MacKay, Hong Kong University of Science and Technology
Discussant: Timothy C. Johnson , University of Illinois

Stream D.3 – Behavioral Finance
Session Chair: Jun Myung Song, University of New South Wales

09h00 to 09h35
Mood and Analyst Optimism and Accuracy
Yuk Ying Chang, Massey University
Wei-Huei (Wendy) Hsu, Massey University
Discussant: Jessica Y. Wang, Nottingham Trent University

09h35 to 10h10
Driving the Presence of Investor Sentiment: the Role of Media Tone in IPOs
Zhe Shen, Xiamen University
Jiaxing You, Xiamen University
Michael Arthur Firth, Lingnan University
Discussant: Wei-Huei (Wendy) Hsu, Massey University

10h10 to 10h45
Political Relations and Media Coverage
Thomas Ruf, University of New South Wales
Jun Myung Song, University of New South Wales
Bohui Zhang, University of New South Wales
Discussant: Robert B. Durand, Curtin University

Stream D.4 – Empirical Corporate Finance
Session Chair: Jean Canil, University of Adelaide

09h00 to 09h35
The Role of Luck in the Career Path of CEOs and Directors
Amir Barnea, HEC Montréal
Discussant: Emma Jincheng Zhang, University of New South Wales

09h35 to 10h10
Preoccupied Independent Directors
Emma Jincheng Zhang, University of New South Wales
Discussant: Jean Canil, University of Adelaide

10h10 to 10h45
Non-dividend protected executive options and dividend policy: Evidence from SFAS 123R
Jean Canil, University of Adelaide
Discussant: Kelvin Tan, University of Queensland

Stream D.5 – Asset Pricing
Session Chair: Bart Frijns, Auckland University of Technology

09h00 to 09h35
Equilibrium Equity and Variance Risk Premiums in A Cost-free Production Economy
Xinfeng Ruan, University of Otago
Jin E. Zhang, University of Otago
Discussant: Lin William Cong , University of Chicago

09h35 to 10h10
Rise of Factor Investing: Asset Prices, Informational Efficiency, and Security Design
Lin William Cong, University of Chicago
Douglas Xu, University of Chicago
Discussant: Xinfeng Ruan , University of Otago

10h10 to 10h45
Heterogeneous Beliefs among Retail and Institutional Investors
Bart Frijns, Auckland University of Technology
Thanh D. Huynh, Monash University
Alireza Tourani-Rad, Auckland University of Technology
P. Joakim Westerholm, University of Sydney
Discussant: Remco C.J. Zwinkels, VU Amsterdam and Tinbergen Institute

Sessions E - 11h15 to 13h00
Stream E.1 – Return Predictability
Session Chair: Norman J. Seeger, VU University

11h15 to 11h50
A Comprehensive Look at the Return Predictability of Variance Risk Premia
Suk-Joon Byun, Korea Advanced Institute of Science and Technology
Bart Frijns, Auckland University of Technology
Tai-Yong Roh, Auckland University of Technology
Discussant: Norman J. Seeger, VU University

11h50 to 12h25
Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns
Andreas Kaeck, University of Sussex
Paulo Rodrigues, Maastricht University
Norman J. Seeger, VU University
Discussant: Hsin-Yi Yu, National University of Kaohsiung

12h25 to 13h00
Nearness to the 52-week high and low prices, past returns, and average stock returns
Li-Wen Chen, National Chung Cheng University
Hsin-Yi Yu, National University of Kaohsiung
Discussant: Tai-Yong Roh, Auckland University of Technology

Stream E.2 – Corporate Finance
Session Chair: Alireza Tourani-Rad, Auckland University of Technology

11h15 to 11h50
Common Ownership and Executive Compensation
Lantian Liang, University of Texas at Dallas
Discussant: Alexandre Garel, Auckland University of Technology

11h50 to 12h25
CEO equity-based compensation and abrupt performance declines
Jean Canil, University of Adelaide
Bruce A. Rossera, University of Adelaide
Discussant: Lantian Liang , University of Texas at Dallas

12h25 to 13h00
Manager Attribute and CEO Selection
Lin (Jack) Li, Hong Kong Polytechnic University
Wilson H.S. Tong, Hong Kong Polytechnic University
Discussant: Jean-Philippe Weisskopf , Ecole Hôtelière de Lausanne

Stream E.3 – Information Asymmetry
Session Chair: Andrew Lepone, Macquarie Graduate School of Management

11h15 to 11h50
Private Information in the Chinese Stock Market: Evidence from Mutual Funds and Corporate Insiders
Yeguang Chi, Shanghai Jiaotong University
Discussant: Ravi Kashyap , Markit /City University of Hong Kong

11h50 to 12h25
A Tale of Two Consequences Intended and Unintended Outcomes of the Japan TOPIX Tick Size Changes
Ravi Kashyap, Markit /City University of Hong Kong
Discussant: Ivan Indriawan , Auckland University of Technology

12h25 to 13h00
Impact of Short-selling Restrictions on Futures Pricing: Evidence from China
Andrew Lepone, Macquarie Graduate School of Management
Jun Wen, Macquarie Graduate School of Management
Jin Boon Wong, Macquarie Graduate School of Management
Jin Young Yang, Macquarie Graduate School of Management
Discussant: Pengcheng (Phil) Zhu, University of San Diego

Stream E.4 – Corporate Debt
Session Chair: Jiri Svec, University of Sydney

11h15 to 11h50
Deposit Insurance Design and Credit Union Risk
Christina Atanasova, Simon Fraser University
Mingxin Li, Simon Fraser University
Mehrdad Rastan, Financial Institutions Commission, Canada
Discussant: Barbara Chambers, Monash University

11h50 to 12h25
Multiemployer Defined Benefit Pension Plans’ Liability Spillovers: Important Connections in U.S. Unionized Industries
Barbara Chambers, Monash University
Discussant: Jiri Svec , University of Sydney

12h25 to 13h00
Distress Risk: An Accelerated Failure Time Survival Analysis Approach
William Taylor, University of Sydney
Jiri Svec, University of Sydney
Discussant: Wei-Huei (Wendy) Hsu , Massey University

Stream E.5 – Financial Econometrics
Session Chair: Vitali Alexeev, University of Technology Sydney

11h15 to 11h50
Global price discovery in the Australian dollar market and its determinants
Fei Su, University of Technology Sydney
Discussant: Milena Tieves, University of Hagen

11h50 to 12h25
Sample selection bias, return moments, and the performance of optimal versus naive diversification
Bowei Li, University of Melbourne
Discussant: Fang Zhen , University of Otago

12h25 to 13h00
Asymmetric Jump Beta Estimation with Implications for Portfolio Risk Management
Vitali Alexeev, University of Technology Sydney
Wenying Yao, University of Tasmania
Giovanni Urga, Deakin University
Discussant: Ayesha Scott, Auckland University of Technology