2005 China International Conference in Finance
Kunming, July 5-7
Preliminary Program (24 sessions in English and 8 sessions in Chinese) Download
Program Co-Chairs: Charles Cao and Tan Wang
July 5, 2005 5:00 – 7:00PM Conference Reception
July 6, 2005 8:00 – 8:20AM Opening Ceremony
July 6, 2005 8:30 – 10:00AM
Stock Returns and Volatility
Session Chair: Kalok Chan, Hong Kong University of Science and Technology
Abnormal Equity Returns Following Downgrades
Maria Vassalou, Columbia University and Yuhang Xing, Rice University
Who Wants to Trade around Ex-dividend Days?
Shing-Yang Hu and Yun-lan Tseng, National Taiwan University
Stock Returns and Volatility: Pricing the Long-Run and Short-Run Components of Market Risk
Tobias Adrian and Joshua Rosenberg, Federal Reserve Bank of New York
Estimation of Continuous-time Models with an Application to Equity Volatility Dynamics
Gurdip Bakshi, Nengjiu Ju, University of Maryland and Hui Ou-yang, Duke University
Discussants:
Mindy Xu, Hong Kong Polytechnic University
Tongshu Ma, University of Utah
Tu Jun, Singapore Management University
Jun Pan, MIT
July 6, 2005 8:30 – 10:00AM
Asset Pricing in Markets with Frictions
Session Chair: Henry Cao, Cheung Kong Graduate School of Business
Market Liquidity and Asset Prices under Costly Participation
Jennifer Huang, University of Texas at Austin and Jiang Wang, MIT
Transaction Cost Can Have a First-Order Effect on Liquidity Premium
Bong-Gyu Jang, KAIST, Hyeng Keun Koo, Ajou University,
Hong Liu, Washington University in St. Louis and Mark Loewenstein, University of Maryland
An Equilibrium Model with Buy and Hold Investors
Tao Wu, SUNY Buffalo
Search and Endogenous Concentration of Liquidity in Asset Markets
Dimitri Vayanos, London School of Economics and Tan Wang, University of British Columbia
Discussants:
Qiang Dai, University of North Carolina at Chapel Hill
Jay Huang, Penn State University
Nengjiu Ju, University of Maryland
Lin Peng, Baruch College
July 6, 2005 8:30 – 10:00AM
Behavioral Finance I
Session Chair: John Wei, Hong Kong University of Science and Technology
Disposition Effect among Mutual Fund Managers
Jin Li and Anna Scherbina, Harvard Business School
Systematic Noise
Brad M. Barber, University of California at Davis, Terrance Odean, University of California at Berkeley and Ning Zhu, University of California at Davis
The Role of Brokers and Financial Advisors behind Investments into Load Funds
Xinge Zhao, College of William & Mary & China Europe International Business School.
Are Overconfident Managers Born or Made?
Matthew T. Billett and Yiming Qian, University of Iowa
Discussants:
Ming Huang, Stanford University and Cheung Kong Graduate School of Business
Wen-nie Peng, Hong Kong University of Science and Technology
Ning Zhu, University of California at Davis
Jiang Lou, Hong Kong University of Science and Technology
July 6, 2005 8:30 – 10:00AM
Corporate Governance and Corporate Finance (in Chinese)
Session Chair: Wuxiang Zhu, Tsinghua University
July 6, 2005 10:30AM – 12:00PM
Corporate Governance and Ownership Structure
Session Chair: Paul Malatesta, University of Washington
Corporate Governance and Firm Valuations: Evidence from Hong Kong
Adrian Lei and Frank Song, University of Hong Kong
Bank Lending, Corporate Governance, and Government Ownership in China
Geroge Tian, Peking University
The Effect of Board Composition and Ownership Structure on Firm Performance: Evidence from India
Henk Berkmana, Massey University, Rebel Coleb, Depaul University, Andy Lee and Madhu Veeraraghavan, University of Auckland
Law, Economic, Corporate Governance, and Corporate Scandal in a Transition Economy
Yi Zhang and Guang Ma, Peking University
Discussants:
Chongen Bai, Tsinghua University
Kai Li, MIT and University of British Columbia
Garry Twite, Australian Graduate School of Management
Zhaodong Zhong, Penn State University
July 6, 2005 10:30AM – 12:00PM
Corporate Finance
Session Chair: Denis Gromb, London Business School
Chief Executive Officer Turnovers and the Performance of China's Listed Enterprises
Eric Chang and Sonia Wong, University of Hong Kong
A Theory of Socialistic Internal Capital Markets
Antonio Bernardo, UCLA, Jiang Luo, Hong Kong University of Science and Technology and James Wang, City University of Hong Kong
R&D Financing and the Boundary and Ownership Structure of the Firm
Haizhou Huang, International Monetary Fund and Chenggang Xu, London School of Economics
Discussants:
Denis Gromb, London Business School
Francesca Corneli, London Business School
TBA, Shanghai Jiaotong University
July 6, 2005 10:30AM – 12:00PM
Banking I
Session Chair: Dar-Yeh Hwang, National Taiwan University
Financial Innovations and Banking Reform: Implications for Banking without Deposit Insurance
Nai-fu Chen, University of California, Irvine
Tracing the Financial and Real Impact of a Credit Crunch
Asim Ijaz Khwaja, Harvard University and Atif Mian, University of Chicago
The Soft Budget Constraint of Banks
Julan Du, Chinese University of Hong Kong and David Li,Tsinghua University and Hong Kong University of Science and Technology
Discussants:
Jingqing Chai, International Monetorry Sund
Haibin Zhu, Bank for International Settlements
Dar-Yeh Hwang, National Taiwan University
July 6, 2005 10:30AM – 12:00PM
Asset Pricing (in Chinese)
Session Chair: Zhongfei Li, Zhongshan University
July 6, 2005 12:15 – 2:15PM
Conference Lunch and Keynote Speech
Keynote Speaker: Martin Gruber
Nomura Professor of Finance, New York University
Former President of American Financial Association
July 6, 2005 2:30 – 4:00PM
Behavioral Finance II
Session Chair: Ming Huang, Stanford University and Cheung Kong Graduate School of Business
Bubbles and Panics in a Frictionless Market with Heterogeneous Expectations
Henry Cao, Cheung Kong Graduate School of Business and Hui Ou-Yang, Duke University
Upfront Transfer, Investor Sentiment and Stock Performance
Zhikun Li, Tsinghua University
R^2 and Momentum
Kewei Hou, Ohio State University, Lin Peng, Baruch College and Wei Xiong, Princeton University
Fear of the Unknown: Familiarity and Economic Decision
Henry Cao, Cheung Kong Graduate School of Business, David Hirshleifer, Ohio State University and Harold Zhang, University of North Carolina
Discussants:
Xiong Wei, Princeton University
Xiaoyun Yu, Indiana University
John Wei, Hong Kong University of Science and Technology
Tan Wang, University of British Columbia
July 6, 2005 2:30 – 4:00PM
Market Efficiency I
Session Chair: Allaudeen Hameed, National University of Singapore
What Determines the Discount of Closed-end Funds in the China Market?
Kalok Chan, Hong Kong University of Science and Technology, Hung Wan Kot, University of Waikato and Desmond Li, Thomas Ho Co. Ltd.
Closed-end Fund Governance, Portfolio Performance and the Discount
Russ Wermers, University of Maryland, Youchang Wu and Josef Zechner, University of Vienna
Market Manipulation
Guolin Jiang, Shanghai University of Finance and Economics, Paul Mahoney, University of Virginia and Jianping Mei, New York University
The Effect of Investment Horizon on Institutional Investors - Incentives to Acquire Private Information on Long-Term Earnings
Bin Ke and Santhosh Ramalingegowda, Penn State University
Discussants:
ChangYun Wang, National University of Singapore
Li Jin, Harvard University
Wenjin Kang, National University of Singapore
Allaudeen Hameed, National University of Singapore
July 6, 2005 2:30 – 4:00PM
Interest Rate and Credit Market
Session Chair: Walter Torous, UCLA
Fiscal Policy and the Term Structure of Interest Rates
Qiang Dai, University of North Carolina at Chapel Hill and Thomas Philippon, New York University
The Chinese Interbank Repo Market: An Analysis of Term Premiums
Longzhen Fan and Chu Zhang, Hong Kong University of Science and Technology
Time-Series Estimation of Aggregate Corporate Bond Credit Spreads
Herman Bierens, Jingzhi Huang, Penn State University and Weipeng Kong, Bear Stearns
Intra-industry Credit Contagion: Evidence from the Credit Default Swap Market and the Stock Market
Gaiyan Zhang, University of California at Irvine
Discussants:
Bob Kimmel, Princeton University
Haizhou Huang, Internation Monetary Fund
Charles Shi, University of California at Irvine
Frank Zhang, Federal Reserve Board
July 6, 2005 2:30 – 4:00PM
Banking (in Chinese)
Session Chair: Chun Chang, University of Minnesota and China Europe International Business School
July 6, 2005 4:30 – 6:00PM
Mergers and Acquisitions
Session Chair: Gary Xu, Peking University
Decoupling CEO Wealth and Firm Performance: The Case of Acquiring CEOs
Jarrad Harford, University of Washington and Kai Li, MIT and University of British Columbia
Managerial Discretion and Takeover Performance
Adny Cosh, Paul Guest and Alan Hughes, Cambridge University
Does Investor Misvaluation Drive the Takeover Market?
Ming Dong, York University, David Hirshleiferb, Ohio State University,
Scott Richardsonc, University of Pennsylvania and Siew Hong Teohd, Ohio State University
Long-run Volatility and Risk around Mergers and Acquisitions
Sreedhar Bharath and Guojun Wu, University of Michigan
Discussants:
Zheng Zhang, Peking University
George Tian, Peking University
Yi Zhang, Peking University
Gary Xu, Peking University
July 6, 2005 4:30 – 6:00PM
IPO and Venture Capital
Session Chair: Kuoping Chang, National Tsinghua University
The role of the media in the internet IPO bubble
Utpal Bhattacharya, Neal Galpin, Rina Ray and Xiaoyun Yu, Indiana University
Underwriter Manipulation in IPOs
Rajesh Aggarwal, University of Virginia, Amiyatosh Purnanandam, University of Michigan and Guojun Wu, University of Michigan
A Fully-Rational Liquidity-Based Theory of IPO Underpricing and Underperformance
Pritsker Matt, Federal Reserve Board
The Size of Venture Capitalists' Portfolios
Gennaro Bernile, University of Rochester, Douglas Cumming, University of New South Wales and Evgeny Lyandres, Rice University
Discussants:
Shing-yang Hu, National Taiwan University
Matt Pritsker, Federal Reserve Board
Kuoping Chang, National Tsinghua University
Ge Zhang, University of New Orleans
July 6, 2005 4:30 – 6:00PM
Banking II
Session Chair: Haizhou Huang, International Monetary Fund
Balanced Performance Index and Its Implications: Evidence from Taiwan’s Commercial Banks
Dar-Yeh Hwang, Chi-Chun Liu, National Taiwan University and Lishu Ouyang, Chinese Culture University
Commercial Property Prices and Bank Performance
Philip Davis, Brunel University and Haibin Zhu, Bank for International Settlements
Understanding the Rise and Decline of the Japanese Main Bank System: Corporate Investment and Financing under Bank Rent Extraction
Xueping Wu and Jun Yao, City University of Hong Kong
Discussants:
Julan Du, Chinese University of Hong Kong
Zheng Ni, Tsinghua University
Haibin Zhu, Bank for International Settlements
July 6, 2005 4:30 – 6:00PM
Manipulation and Market Efficiency (in Chinese)
Session Chair: Qingshi Wang, Dongbei University of Finance and Economics
July 6, 2005 6:30 – 8:00PM
Conference Dinner
July 7, 2005 8:30 – 10:00AM
Derivatives
Session Chair: Jun Pan, MIT
Do Futures Markets Overreact?
Changyun Wang, Renmin University and National University of Singapore
Implied Volatility Smirk
Jin Zhang, University of Hong Kong and Yi Xiang, Hong Kong University of Science and Technology
A No-Arbitrage Analysis of the Economic Determinants of the Credit Spread Term Structure
Liuren Wu, Baruch College and Frank Zhang, Federal Reserve Board
Discussants:
Jennifer Huang, University of Texas at Austin
Jingzhi Huang, Penn State University
Nengjiu Ju, University of Maryland
July 7, 2005 8:30 – 10:00AM
Mutual Fund
Session Chair: Fengming Song, Tsinghua University
Unobserved Actions of Mutual Funds
Marcin Kacperczyk, University of British Columbia, Clemens Sialm and Lu Zheng, University of Michigan
Participation Costs and the Sensitivity of Fund Flows to Past Performance
Jennifer Huang, University of Texas at Austin, Kelsey Wei, SUNY- Binghamton and Hong Yan, University of Texas at Austin
Security Selection and Market Timing: A Comparative Study of Investment Fund Performance in China and US
Xiaoqing Eleanor Xu, Seton Hall University and Jiong Liu, Citibank
Do Mutual Funds Time the Market? Evidence from Portfolio Holdings
George Jiang, Tong Yao, University of Arizona and Tong Yu, University of Rhode Island
Discussants:
Ruhui Yang, Tsinghua University
Yingzi Zhu, Tsinghua University
Shan Wang, Tsinghua University
Zhikun Li, Tsinghua University
July 7, 2005 8:30 – 10:00AM
Market Efficiency II
Session Chair: Eric Chang, University of Hong Kong
Beyond Earnings Surprise: Incremental Information about Future Earnings around Earnings Announcement
James Ang, Florida State University and Shaojun Zhang, Nanyang Technological University
Does Analyst Bias Drive Stock Return Anomalies? An Empirical Investigation
Ravi Jagannathan, Northwestern University, Tongshu Ma, University of Utah and Antonio Baldaque da Silva, Northwestern University
Tightening Credit Standards: Fact or Fiction?
Philippe Jorion, Charles Shi and Sanjian Zhang University of California at Irvine
Discussants:
Bin Ke, Penn State University
Tao Lin, The University of Hong Kong
Jianming Kou, University of Reading
July 7, 2005 8:30 – 10:00AM
Chinese Financial Institutions (in Chinese)
Session Chair: Fangyu Fei, Shanghai Jiaotong University
July 7, 2005 10:30AM – 12:00PM
Investment Management
Session Chair: Jia He, Chinese University of Hong Kong
A Patent Race in a Real Options Setting: Investment Strategy, Valuation, CAPM Beta and Return Volatility
Rujing Meng, University of Hong Kong
Forecasting Correlation and Covariance with a Range-Based Dynamic Conditional Correlation Model
Ray Chou, Academia Sinica, Nathan Liu, National Chiao-Tung University and Chun-Chou Wu, Chung Yuan Christian University
Predicting Agency Rating Movements with Spread Implied Ratings
Jianming Kou and Simone Varotto, University of Reading
Does Investor Base Influence Stock Comovement?
Susan Ji, Baruch College
Discussants:
Yuqing Zhou, Chinese University of Hong Kong
Jibao He, Shenzhen Stock Exchange
Chaowei Zhu, Sichuan University
Ming Liu, Chinese University of Hong Kong
July 7, 2005 10:30AM – 12:00PM
Empirical Corporate Finance
Session Chair: Kai Li, MIT and University of British Columbia
Currency Market Timing and International Capital Structure: Evidence from ADR Issuances
Paolo Pasquariello, Kathy Yuan and Qiaoqiao Zhu, University of Michigan
The Emergence of Corporate Pyramids in China
Joseph Fan, T.J. Wong, and Tianyu Zhang, Chinese University of Hong Kong
A Study on the Relationship between the Family Control and Dividend Decision of the Listed Company
Jianping Deng and Yong Zeng, University of Electronic Science and Technology of China
The Impact of the Dividend Tax Cut and Managerial Stock Holdings on Corporate Dividend Policy
Jouahn Nam, Pace University, Jun Wang, Baruch College and Ge Zhang, University of New Orleans
Discussants:
Qiang Kang, University of Miami
Hua Zhang, Chinese University of Hong Kong
Keith Wong, Hong Kong University
Paul Malatesta, University of Washington
July 7, 2005 10:30AM – 12:00PM
Market Liquidity
Session Chair: Robert Webb, University of Virginia
Full-Information Transaction Costs
Bandi Federico and Jeffery Russell, University of Chicago
Home Bias and Market Liquidity
Wenjin Kang, National University of Singapore
Transparency, Intraday Order Placement Strategy and Market Performance
Tai Ma,Yaling Lin and Showguay Cheng, National Sun Yat-sen University
Discussants:
Jennifer Huang, University of Texas at Austin
Maosen Zhong, University of Queensland
Ke Peng, University of Bradford
July 7, 2005 10:30AM – 12:00PM
International Finance and Macroeconomy (in Chinese)
Session Chair: Jie Zhang, Renmin University of China
July 7, 2005 12:15 – 1:30PM
Conference Lunch
July 7, 2005 2:00 – 3:30PM
Individual and Institutional Trading
Session Chair: David Ding, Nanyang Technological University
The Trading Behavior of Institutions and Individuals in Chinese Equity Markets
Lilian Ng, University of Wisconsin at Milwaukee and Fei Wu, University of Massey
The Behavior and Performance of Individual Investors in China
Changyun Wang, Su Ling Chee, National University of Singapore and Qian Sun, Nanyang Technological University
When Will Investors Herd?--Evidence from the Chinese Stock Markets
Gongmeng Chen, Hong Kong Polytechnic University, Oliver Rui, Chinese University of Hong Kong and YexiaoXu, University of Texas at Dallas
Discussant:
Qian Sun, Nanyang Technological University
Yexiao Xu, University of Texas at Dallas
Fei Wu, Massey University
July 7, 2005 2:00 – 3:30PM
Government and Financial Market
Session Chair: Shangjin Wei, Internation Monetary Fund
Efficiency and the Bear: Short Sales and Markets around the World
Arturo Bris and William Goetzmann, Yale University and Ning Zhu, University of California at Davis
Pitfalls of a State-dominated Financial System: The Case of China
Genevieve Boyreau-Debray, World Bank and Shang-Jin Wei, Internation Monetary Fund
Market Liberalization within a Country
Qian Sun, Nanyang Technological University, Wilson Tong, Hong Kong Polytechnic University and Yuxing Yan, University of Pennsylvania
Discussants:
David Parsley, Vanderbilt University
Li Jin, Harvard Business School
Julan Du, Chinese University of Hong Kong
July 7, 2005 2:00 – 3:30PM
Panel Discussion: How to Publish in Top Finance Journals
Panelists: Editors and associate editors of leading finance journals including
Review of Financial Studies
Journal of Financial and Quantitative Analysis
Review of Futures Market
Journal of Futures Market
Management Science
Journal of Financial Markets
July 7, 2005 2:00 – 3:30PM
Financial Markets and Investments (in Chinese)
Session Chair: Yong Zeng, University of Electronic Science and Technology of China
July 7, 2005 4:00 – 5:30PM
Market Microstructure
Session Chair: Guojun Wu, University of Michigan
An Anatomy of the Magnet Effect: Evidence from the Korea Stock Exchange High Frequency Data
Yan Du, Qianqiu Liu and Ghon Rhee, University of Hawaii
Trading Frictions and Market Structure: An Empirical Analysis
Charlie Cai, David Hillier Rebert Hudson and Kevin Keasey , University of Leeds
Does Liquidity Information Matter?
Ke Peng, University of Bradford and Pradeep Yadav, Lancaster University
Discussants:
Donghui Shi, Shanghai Stock Exchange
Jibao He, Shenzhen Stock Exchange
Fenghua Wang, Shanghai Stock Exchange
July 7, 2005 4:00 – 5:30PM
International Finance
Session Chair: Jianping Mei, New York University
Global Growth Opportunities and Market Integration
Geert Bekaert, Columbia University, Campbell Harvey, Duke University, Christian Lundblad, Indiana University and Stephan Siegel, Columbia University
Corporate Governance and Conditional Skewness in the World’s Stock Markets
Kee-Hong Bae, Chanwoo Lim, Korea University and John Wei, Hong Kong University of Science and Technology
China and the World Equity Markets: A Review of the First Decade
Kuan-Pin Lin, Portland State University, Albert Menkveld, Vrije Universiteit Amsterdam and Zhishu Yang, Tsinghua University
Discussants:
Lijian Sun, Fudan University
Jianping Ding, Shanghai University of Finance and Economics
Kathy Yuan, University of Michigan
July 7, 2005 4:00 – 5:30PM
Risk and Return
Session Chair: Rou Wang, Yunnan University
Optimal Estimation for Economic Gains: Portfolio Choice with Parameter Uncertainty
Raymond Kan, University of Toronto and Guofu Zhou, Washington University in St Louis
Value versus Growth: Movements in Economic Fundamentals
Yuhang Xing, Rice University and Lu Zhang, University of Rochester
On the Intertemporal Risk-return Relation: A Bayesian Model Comparison Perspective
Leping Wang, Singapore Management University
International Asset Pricing under Habit Formation and Idiosyncratic Risks
Yuming Li, California State University at Fullerton and Maosen Zhong, University of Queensland
Discussants:
Chengjian Su, Shantou University
Chu Zhang, Hong Kong University of Science and Technology
Guofu Zhou, Washington University in St. Louis
Jason Chen, University of Chicago and University of British Columbia
July 7, 2005 4:00 – 5:30PM
Corporate Finance (in Chinese)
Session Chair: Chong'en Bai, Tsinghua University
