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2007 China International Conference in Finance
Chengdu, China, July 9-12
2007年中国国际金融年会
成都，7月9 日至12日
ORGANIZERS:
China Center for Financial Research (CCFR), Tsinghua University
Sloan School of Management, Massachusetts Institute of Technology
CO-ORGANIZERS:
Southwest University of Finance and Economics (Chengdu)
University of Electronic Science and Technology of China (Chengdu)
CORPORATE SPONSORS:
Trust Company of the West
Reuters
OTHER SPONSORS:
Institute of Financial Studies, Sichuan University
China Journal of Finance
PROGRAM CO-CHAIRS:
Charles Cao, Penn State University
Guofu Zhou, Washington University at St. Louis
July 9,2007 12:00 – 6:00PM Conference Registration
July 9,2007 2:00 - 5:00PM
Industry Symposium:
The Global Evolution of the Real Estate Investment Trust Market and Projected Impact on the Chinese Marketplace
Organized by Trust Company of the West
Opening: Jeffrey Gundlach
Global Evolution of the REIT Market: Louis Lucido
Legal & Tax Status & Implications: Roland Ho
Regional Investor Spectrum: Cliffford Mak
REIT Investor Determinants: Shirley Zheng
Global Equity Demand: Sam Garza
Property Valuations & Impact of Fund Flows: Stephanie Cheung
Product Education: Broadening Markets: Morris Chen
Financial Alternatives Other than REITS: Nanlan Ye
July 9,2007 6:00 – 7:30PM Conference Reception
--- Sponsored by Trust Company of the West
July 10,2007 8:00-9:00AM Opening Ceremony & Keynote Speech
Opening Speech: Jiang Wang
Director, China Center for Financial Research, Tsinghua University
Mizuho Professor of Finance MIT Sloan School of Management
Dean’s Welcome: Yingyi Qian
Dean, School of Economics and Management, Tsinghua University
Keynote Speaker: Andrew Lo
Harris & Harris Group Professor
Sloan School of Management, MIT
Academic Sessions (44 sessions in English and 16 sessions in Chinese)
July 10, 2007 9:15 – 10:45AM
Corporate Governance I
Session Chair: Jennifer Carpenter, New York University
Weak Shareholder Rights: A Product Market Rationale
Martijn Cremers, Yale University, Vinay Nair, University of Pennsylvania and Urs Peyer, INSEAD
Concentrating on Governance
Dalida Kadyrzhanova, University of Maryland and Matthew Rhodes-Kropf, Columbia University
Serial CEOs' Incentives and the Shape of Managerial Contracts
Mariassunta Giannetti, Stockholm School of Economics
The Financing Structures of Firms with Poor Corporate Governance
Beng Soon Chong, Nanyang Technological University
Discussants:
Peter L. Swan, University of New South Wales
Thomas Noe, Tulane University
Kit Pong Wong, University of Hong Kong
Chenyang Jason Wei, Federal Reserve Bank of New York
July 10, 2007 9:15-10:45AM
Banking I
Session Chair: George Kanatas, Rice University
Liquidity Risk and Limited Arbitrage: Are Banks Helping Hedge Funds Get Rich?
Evan Gatev, Boston College
The Size of Credit Bureaus with Multiple Lenders
Artashes Karapetyan, Harvard University
Concurrent Lending and Underwriting and Client Firms' Issuing Decisions
Jianping Qi, University of South Florida
Discussants:
Ning Gong, Melbourne Business School
An Yan, Fordham University
Hefei Wang, University of Ilinois at Chicago
July 10, 2007 9:15-10:45AM
Asset Pricing in Markets with Frictions
Session Chair: Phil Dybvig, Washington University at St. Louis
Optimal Portfolio Selection with Transaction Costs and "Event Risk"
Hong Liu, Washington University and Mark Loewenstein, University of Maryland
Margin Requirements and Stock Price Volatility When Agents’ Beliefs Are Heterogeneous
Tao Li, Chinese University of Hong Kong
Transaction Cost and Consumption
Geng Li, Federal Reserve Board
Discussants:
Yingzi Zhu, Tsinghua University
Yajun Wang, Washington University in Saint Louis
Vivian Wang , Pennsylvania State University
July 10, 2007 9:15-10:45AM
Derivatives I
Session Chair: Robert Webb, University of Virginia
Nonparametric Estimation of State-Price Densities Using Interest Rate Options
Haitao Li, University of Michigan and Feng Zhao, Rutgers University
The Smirk in the S&P500 Futures Options Prices: a Linearized Factor Analysis
Andrew Carverhill, Terry Cheuk, University of Hong Kong and Sigurd Dyrting, Deutsche Bank
Interest Rate Swaps and Corperate Default
Urban Jermann, University of Pennsylvania and Vivian Yue, New York University
The Effects of Leverage on the Pricing of S&P 500 Index Call Options
Robert Geske and Yi Zhou, UCLA
Discussants:
Jin Zhang, University of Hong Kong
Feng Zhao, Rutgers Business School
Zhipeng Zhang, Stanford University
Yingzi Zhu, Tsinghua University
July 10, 2007 9:15-10:45AM
Corporate Finance I (in Chinese)
Session Chair: Mengbo Yin, Southwest University of Finance and Economics
公司理财
主持人: 殷孟波, 西南财经大学
为什么创业企业要抢先获得风险资本
王正位, 朱武祥, 清华大学
关联并购重组：根源与后果
邓建平,曾勇, 电子科技大学, 何佳, 香港中文大学
政府干预、政治关联与地方国有企业并购
潘红波, 夏新平, 余明桂, 华中科技大学
信任、交易成本与商业信用模式——来自中国上市公司的经验证据
刘凤委, 上海国家会计学院, 李琳, 上海对外贸易学院, 薛云奎, 长江商学院
Discussants:
翟立宏, 西南财经大学金融学院
贺国生, 西南财经大学金融学院
赵昌文, 四川大学工商管理学院
曾勇, 电子科技大学管理学院
10-Jul-07 11:00AM – 12:30PM
Behavioral Finance: Empirical
Session Chair: Harrison Hong, Princeton University
Stock Market Mis-valuation and Corporate Investment
Ming Dong, York University, David Hirshleifer and Siew Hong Teoh, University of California, Irvine
When the Tail Wags the Dog: Industry Leaders and Cross-Industry Information Diffusion
Ling Cen, Kalok Chan, Sudipto Dasgupta, Hong Kong University of Science and Technology and Ning Gao, University of Manchester
Payday Matters: A Look at Trader Behavior within Pay Cycles
Ryan Garvey, Duquesne University and Fei Wu, Massey University
Dynamic Daylight Seasonality in Equilibrium Stock Returns
Xifeng Diao, University of Calgary and Maurice Levi, University of British Columbia
Discussants:
Ming Huang, Cornell University
Walter Torous, UCLA
TBA
Longkai Zhao, Peking University
10-Jul-07 11:00AM – 12:30PM
Asset Pricing: Empirical I
Session Chair: Rossen Valkanov, University of California, San Diego
Measuring Consumption Risk When Investors May Make Infrequent Decisions: Evidence from Japan
Ravi Jagannathan, Northwestern University, Hitoshi Takehara, Waseda University and Yong Wang, Hong Kong Polytechnic University
Expected Stock Returns and Variance Risk Premia
Tim Bollerslev, Duke University and Hao Zhou, Federal Reserve Board
Regularities
Laura Liu, Hong Kong University of Science and Technology, Toni Whited, University of Wisconsin–Madison and Lu Zhang, University of Michigan
The Factor Structure of Realized Volatility and its Implications for Option Pricing
Zhi Da, University of Notre Dame and Ernst Schaumburg, Northwestern University
Discussants:
Walter Torous, UCLA
Yi Zhou, UCLA
Jun Tu, Singapore Management University
Yexiao Xu, University of Texas at Dallas
10-Jul-07 11:00AM – 12:30PM
Executive Compensation
Session Chair: Mariassunta Giannetti, Stockholm School of Economics
Economics of Super Managers
Nina Baranchuk, University of Texas – Dallas, Glenn MacDonald, Washington University at St. Louis and Jun Yang, Indiana University
Option Compensation and Industry Competition
Neal Stoughton, University of Calgary and Kit Pong Wong, University of Hong Kong
The Effect of Poison Pill Adoption on Compensation, Earnings Management and Value Relevance
Bin Srinidhi, University at Albany and Kaustav Sen, Pace University
Large Shareholders, Board of Directors and the Pay-performance Link: An Australian Experience
Gloria Tian University of New South Wales and Garry Twite, Australian National University
Discussants:
Thomas Noe, Tulane University
Antonio Falato, Federal Reserve Board
Dalida Kadyrzhanova, University of Maryland
Zacharias Sautner, University of Amsterdam
10-Jul-07 11:00AM – 12:30PM
Chinese Stock Markets I
Session Chair: Chun-yang Huang, Nanyang Tech University
Partial Privatization and SIP Stock Price Performance: Evidence from China
Wei-Ju Chen, Robin Chou, National Central University and Yu Jane Liu, National Chengchi University
Herding Behavior in Chinese Stock Markets: An Examination of A and B Shares
Lin Tan, California State Polytechnic University, Thomas Chiang, Joseph Mason, and Edward Nelling, Drexel University
Post-Privatization Ownership Dynamics: Evidence from Chinese Share Issuing Privatizations
Qi Quan and Nancy Huyghebaert , Katholieke Universiteit Leuven
Private Benefits in Privatization: Evidence from IPOs of State Owned Firms in China
Zhaohui Chen, Jongmoo Jay Choi, Temple University and Cao Jiang, Holy Family University
Discussants:
Meijun Qian, National University of Singpaore
Shaojun Zhang, Nanyang Technological University
Qiao Liu, Hong Kong University
Robin Chou, National Central University
10-Jul-07 11:00AM – 12:30PM
Investments and Risk Management (in Chinese)
Session Chair: Yong Zeng, University of Electronic Science and Technology of China
投资与风险管理
主持人：曾勇, 中国电子科技大学
国债交易市场统一、风险度量及影响因素分析
蒋贤锋, 史永东, 东北财经大学
上市公司现金持有过量对投资行为及效率的影响分析
张凤, 成都信息工程学院, 黄登仕, 西南交通大学
企业集团内部资本市场对融资约束的影响
邵军, 上海立信会计学院, 刘志远, 南开大学
盈利质量、投资者非理性行为与盈余惯性
杨德明, 林斌, 辛清泉, 中山大学
Discussants:
李平, 电子科技大学管理学院
宿成建, 汕头大学商学院
陈国进, 厦门大学王亚南经济研究院
邓建平, 电子科技大学管理学院
10-Jul-07 12:30 – 1:45PM Conference Lunch
10-Jul-07 2:00 – 3:30PM
Asset Pricing: Theory and Empirical Tests
Session Chair: Raymond Kan, University of Toronto
Competitive Advantage, Asset Return, and International Momentum
Zhiwu Chen, Yale University, Yangru Wang, Rutgers University and Hong Zhang, INSEAD
Return Predictability from Firm-specific Variables and the Beta Pricing Theory
Chu Zhang, Hong Kong University of Science and Technology
Cash-flow Risk, Discount-rate Risk, and Market Premium
Michael Brandt, Duke University, Xing Jin, University of Warwick and Leping Wang, Singapore Management University
Stock Market Mispricing: Inflation Illusion or Resale Option?
Carl Chen, Peter Lung and Albert Wang, University of Dayton.
Discussants:
Laura Liu, HKUST
Yong Wang, Hong Kong Polytechnic University
Chu Zhang, HKUST
Raymond Kan, University of Toronto
10-Jul-07 2:00 – 3:30PM
Corporate Finance I
Session Chair: Thomas Noe, Tulane University
Renegotiation-proof Contracting, Disclosure, and Incentives for Efficient Investment
Nina Baranchuk, University of Texas -Dallas, Philip Dybvig, Washington University at St Louis and Jun Yang, Indiana University
Institutions, Financial Development, and Corporate Investment: Evidence from an Implied Return on Capital in China
Qiao Liu, and Alan Siu, University of Hong Kong
Firm Heterogeneity and the Long-Run Effects of Dividend Tax Reform
Francois Gourio and Jianjun Miao, Boston University
Levered Repurchase: Who Benefits?
Kristina Minnick and Mengxin Zhao, Bentley College
Discussants:
Mariassunta Giannetti, Stockholm School of Economics
Guofu Zhou, Washington University
Meijun Qian， National University of Singapore
Gary Twite, Australian National University
10-Jul-07 2:00 – 3:30PM
Market Efficiency
Session Chair: Kalok Chan, Hong Kong University of Science and Technology
Equity Returns at the Turn of the Month
John McConnell and Wei Xu, Purdue University
A Critical Long View of Capital Markets and Institutions: Realized Returns on Corporate Assets, 1950-2003
James Ang, Florida State University, Gregory Nagel, Mississippi State University and Jun Yang, Indiana University
Ex-Dividend Day Behaviour in the Absence of Taxes and Price Discreteness
Khamis Yahyaee, Toan Pham, and Terry Walter, University of New South Wales
Portfolio Concentration and the Performance of Individual Investors
Zoran Ivkovic, University of Illinois at Urbana Champaign, Clemens Sialm, University of Michigan and Scott Weisbenner, University of Illinois at Urbana-Champaign
Discussants:
Kalok Chan, HKUST
Steven Wei, Hong Kong Polytechnic University
Donglin Li, San Francisco State University
Hung-Wan Kot, Hong Kong Baptist University
10-Jul-07 2:00 – 3:30PM
Asset Management
Session Chair: Hong Liu, Washington University
Comparing Stars-Trading on Star Mutual Funds' Holdings and Star Analysts' Recommendations
Lily Fang, INSEAD and Robert Kosowski, Imperial College London
Share Restrictions, Liquidity Premium and Offshore Hedge Funds
Bing Liang and Hyuna Park, University of Massachusetts
Institutional Trading and Share Returns
Douglas Foster, Australian National University, David Gallagher, University of New South Wales and Barclays Global Investors and Adrian Looi, Barclays Global Investors
Riding the Post Earnings Announcement Drift: Evidence from Mutual Funds
Ashiq Ali, University of Texas at Dallas, Xuanjuan Chen, University of North Carolina at Wilmington, Tong Yao, University of Arizona and Tong Yu, University of Rhode Island
Discussants:
Zhi Wang, University of Illinois at Urbana-Champaign
Feng Zhao, Rutgers University
Bin Wei, Duke University
Pengjie Gao, Northwestern University
10-Jul-07 2:00 – 3:30PM
Corporate Governance (in Chinese)
Session Chair: Wuxiang Zhu, Tsinghua University
公司治理
主持人: 朱武祥, 清华大学
最终控制人利益侵占的条件分析——对LLSV模型的扩展
吕长江, 复旦大学, 肖成民, 吉林大学
产品市场竞争能替代公司内部治理吗？——来自中国上市公司过度投资的经验证据
张功富, 暨南大学
大股东控制、高管激励与盈余管理
王克敏, 复旦大学, 王志超, 吉林大学
双边道德风险与风险投资的资本结构
郭文新, 曾勇, 电子科技大学
Discussants:
曾勇, 电子科技大学
赵冬青, 清华大学
李善民, 中山大学
龚朴, 华中科技大学
10-Jul-07 4:00 – 5:30PM
Credit Markets
Session Chair: Robert Geske, UCLA
Specification Analysis of Structural Credit Risk Models
Jing-zhi Huang, Penn State University and Hao Zhou, Federal Reserve Board
Assessing Credit Quality from the Equity Market: Is Structural Approach a Better Approach?
Yu Du, RBC Financial Group and Wulin Suo, Queen’s University
Corporate Bond Loss Given Default: A Structural Model
Zhipeng Zhang, Stanford University
New Empirical Evidence on the Debt Maturity Choice and the Role of Credit Risk
Andreas Hackethal and Christian Jansen, European Business School, International University
Discussants:
Yi Zhou, UCLA
Gaiyan Zhang, University of Missouri in St. Louis
Mark Holder, Kent State University
Robert Geske, UCLA
10-Jul-07 4:00 – 5:30PM
Corporate Governance II
Session Chair: Jianping Qi, University of South Florida
Optimal Exercise of Executive Stock Options and Implications for Firm Cost
Jennifer Carpenter, New York University, Richard Stanton and Nancy Wallace, U.C. Berkeley
Corporate Governance and the Design of Stock Option Programs
Zacharias Sautner, University of Amsterdam and Martin Weber, University of Mannheim
Pay-Performance Sensitivity and Its Relations to Firm Performance and Firm Risk in a Continuous-Time Principal-Agent Model
Nengjiu Ju and Xuhu Wan, Hong Kong University of Science and Technology
Corporate Governance and Independent Directors
Stefano Caselli, Francesco Corielli and Stefano Gatti, Bocconi University
Discussants:
Mark Loewenstein, University of Maryland
Nengjiu Ju, Hong Kong University of Science and Technology
Rong Wang, College of William & Mary
Qiao Liu, University of Hong Kong
10-Jul-07 4:00 – 5:30PM
International Finance I
Session Chair: John Wei, Hong Kong University of Science and Technology
International Stock Return Comovements
Geert Bekaert, Robert Hodrick, Columbia University and Xiaoyan Zhang, Cornell University
The World Price of Home Bias
Sie Ting Lau, Nanyang Technological University, Lilian Ng, University of Wisconsin-Milwaukee and Bohui Zhang, Nanyang Technological University
Local Factors and the Gains from International Diversification
Cheol Eun, Georgia Institute of Technology, Sandy Lai and Zhe Zhang, Singapore Management University
Arranger certification in Project Finance
Stefano Gatti, Bocconi University, Stefanie Kleimeier, Maastricht University, William Megginson, University of Oklahoma and Alessandro Steffanoni, Interbanca
Discussants:
Ling Cen, Hong Kong University of Science & Technology
Winnie Peng, Hong Kong University of Science
Xiaoyan Zhang, Cornell University
Junbo Wang, City University of Hong Kong
10-Jul-07 4:00 – 5:30PM
Finance, Law and Financial Distress
Session Chair: Tao Li, Chinese University of Hong Kong
Corruption and Competition
Franklin Allen, University of Pennsylvania and Jun Qian, Boston College
Optimal Resolutions of Financial Distress by Contract
Nicola Gennaioli, Stockholm University and Stefano Rossi, Stockholm School of Economics
Leverage, Financial Distress and the Cross Section of Stock Returns
Thomas George, University of Houston and Chuan-Yang Hwang, Nanyang Technological University
Is There Penalty for Crime? Corporate Scandal and Management Turnover in China
Peng Sun and Yi Zhang, Peking University
Discussants:
Ning Gong, University of Melbourne
Jun Yang, Indiana University
Ming Liu, Chinese University of Hong Kong
Mengxin, Zhao, Bentley College
10-Jul-07 4:00 – 5:30PM
Asset Pricing: Empirical I (in Chinese)
Session Chair: Changwen Zhao, Sichuan University
资产定价: 实证研究 I
主持人：赵昌文，四川大学
时变风险与股权溢价——基于中国股市的经验分析
朱波, 西南财经大学
中国股票市场价格操纵－理论及实证分析
向中兴, 赵昌文, 杨记军, 四川大学
我国上市公司“股权分置”改革的博弈分析与影响因素
屈文洲, 关家雄, 吴世农, 厦门大学
Discussants:
李善民, 中山大学管理学院
何佳, 香港中文大学
余乔, 清华大学
10-Jul-07 7:00 – 9:00PM Conference Dinner & Best Paper Awards
11-Jul-07 8:30 – 10:00AM
Fixed-income Securities
Session Chair: Walter Torous, UCLA
Mortgage Timing
Ralph Koijen, Tilburg University, Otto Van Hemert, New York University and Stijn Van Nieuwerburgh, New York University
The Valuation of Callable Convertible Bond with Parisian Feature using Finite Element Method
Gong Pu and Meng Jian-ling, Huazhong University of Science and Technology
Affine-Quadratic Term Structure Models - Toward the Understanding of Jumps in Interest Rate
George Jiang, University of Arizona and Shu Yan, University of South Carolina
Debt with Endogenous Safety Covenants: Default and Corporate Securities Valuation
Jerome Detemple, Boston University and Weidong Tian, University of Waterloo
Discussants:
Rossen Valkanov, UCSD
Jingzhi Huang, Penn State University
Yi Zhou, UCLA
Alessio Saretto, Purdue University
11-Jul-07 8:30 – 10:00AM
Asset Pricing Theory
Session Chair: Jun Pan, MIT
Labor Income Dynamics at Business-Cycle Frequencies: Implications for Portfolio Choice
Anthony Lynch, New York University and Sinan Tan, Fordham University
Asset Pricing under Jump Diffusion
Jin Zhang, and Huimin Zhao, University of Hong Kong
Technical Analysis and Theory of Finance
Yingzi Zhu, Tsinghua University and Guofu Zhou, Washington University
MPS Risk Aversion and Continuous Time MV Analysis in Presence of Levy Jumps
Chenghu Ma, Xiamen University
Discussants:
Tan Wang, University of British Columbia
Jun Liu, University of California, San Diego
Henry Cao, CKGSB
Jingzhi Huang, Penn State University
11-Jul-07 8:30 – 10:00AM
Corporate Finance II
Session Chair: Kai Li, University of British Columbia
Institutional Determinants of Vertical Integration: Evidence from China
Joseph Fan, Chinese University of Hong Kong, Jun Huang, Shanghai University of Finance & Economics, Randall Morck, University of Alberta and Bernard Yeung, New York University
The Sarbanes-Oxley Act and Cross-Listed Foreign Private Issuers
Xi Li, University of Miami
Institutional Investments in Syndicated Loan Market
Pei Shao, University of Northern British Columbia and Debarshi Nandy, York University
Hierarchical Contract, Firm Size and Pay Sensitivity
Hyeng Keun Koo, Ajou University, Gyoocheol Shim, Bank of Korea and Jaeyoung Sung, University of Illinois at Chicago
Discussants:
Qiao Liu, University of Hong Kong
Tracy Wang, University of Minnesota
Vidhan Goya, HKUST
Hua Zhang, Chinese University of Hong Kong
11-Jul-07 8:30 – 10:00AM
Market Microstructure
Session Chair: Peter Swan, University of New South Wales
Price Discreteness and Dealers Market Power in the OTC Markets
Dan Li, Carnegie Mellon University
How Does the Call Market Method Affect Price Efficiency?
Rosita Chang and Ghon Rhee, University of Hawaii, Gregory Stone, University of Nevada and Ning Tang, Wilfrid Laurier University
The Relationship between the Information Content of Trades and Frequency of Public Information Release: Mediating Effects of Informed and Uninformed Trading
Srinivasan Sankaraguruswamy, Jianfeng Shen and Takeshi Yamada, National University of Singapore
Dynamics of Volume and Price: A New Approach
Li Gan, Xiaojin Su, and Lin Zou, Texas A&M University
Discussants:
Jaeyoung Sung, University of Illinois at Chicago
Jian-Xian Wang, University of New South Wales
Ghon Rhee, University of Hawaii
Dan Li, Carnegie Mellon University
11-Jul-07 8:30 – 10:00AM
Investment Management (in Chinese)
Session Chair: Guojin Chen, Xiamen University
投资管理
主持人: 陈国进, 厦门大学
银行间债券市场利率期限结构建模分析
朱世武, 清华大学
我国城镇居民投资组合选择的动态模拟研究
赵晓英, 曾令华, 湖南大学
流动性风险与股票定价: 来自我国股市的经验证据
黄峰, 杨朝军, 上海交通大学, 邹小芃, 浙江大学
中国股票市场特质波动率异常收益研究
杨华蔚, 韩立岩, 北京航空航天大学
Discussants:
王安兴, 上海财经大学
宿成建, 汕头大学
蒋贤锋, 东北财经大学
许年行, 北京大学
11-Jul-07 10:30AM – 12:00PM
Behavioral Finance I
Session Chair: Ming Huang, Cornell University
Do Arbitrageurs Amplify Economic Shocks?
Tal Fishman, Harrison Hong, Princeton University and Jeffrey Kubik, Syracuse University
Women Executives and Corporate Investment
Winnie Peng and John Wei, Hong Kong University of Science and Technology
Investor Overconfidence and the Forward Discount Puzzle
Bing Han, University of Texas at Austin, David Hirshleifer, University of California, Irvine and Tracy Wang, University of Minnesota
Herding, Information Aggregation and Momentum Effects
Pengjie Gao, Northwestern University
Discussants:
Ning Zhu, University of California at Davis
Jun Qian, Boston College
Henry Cao, Cheung Kong Graduate School of Business
Harrison Hong，Princeton University
11-Jul-07 10:30AM – 12:00PM
Liquidity and Institutional Trading
Session Chair: Eric Chang, University of Hong Kong
Nondefault Bond Spread and Market Trading Liquidity
Song Han and Hao Zhou, Federal Reserve Board
Disentangling Liquidity and Size Effects in Stock Returns: Evidence from China
Rong Cui and Youchang Wu, University of Vienna
Does Removing the Short-sale Constraint Improve Liquidity? Evidence from Hong Kong
Pengjie Gao, Northwestern University, Jia Hao, University of Utah and Tongshu Ma, Binghamton University
Intraday Liquidity Costs: An Examination of Order Execution Quality on Nasdaq
Ryan Garvey, Duquesne University and Fei Wu, Massey University
Discussants:
Jingzhi Huang, Penn State University
Yexiao Xu, University of Texas at Dallas
Jianguo Xu, University of Hong Kong
Doug Foster, Australian National University
11-Jul-07 10:30AM – 12:00PM
International Finance II
Session Chair: Gary Xu, Peking University
Asymmetric Volatility in the Foreign Exchange Markets
Jianxin Wang and Minxian Yang, University of New South Wales
Lessons from the EMU for Asian Regional Integration: An Economic Perspective
Sarkis Khoury, University of California - Riverside and Clas Wihlborg, Copenhagen Business School
The Forward Puzzle: Long Term Bias and Short Term Bias
Fang Liu and Piet Sercu, , Katholieke Universiteit Leuven
Market Impediments, Trade, and Foreign Direct Investment: Evidence from China's Round-Tripping
Hung-Gay Fung, University of Missouri-St. Louis, Jot Yau, Seattle University and Gaiyan Zhang, University of Missouri-St. Louis
Discussants:
Hua Zhang, Chinese University of Hongkong
Jane Liu, Chengchi University
Chunxin Jia, Peking University
Yi Zhang, Peking University
11-Jul-07 10:30AM – 12:00PM
IPO and SEO I
Session Chair: Joseph Fan, Chinese University of Hong Kong
Media Coverage and IPO Underpricing
Laura Liu, Hong Kong University of Science and Technology, Ann Sherman, University of Notre Dame and Yong Zhang, Hong Kong University of Science and Technology
Determinants of IPO Gross Spreads: Theory and Evidence
Feng Zhang, University of British Columbia
The Role of Venture Capital Syndication in Value Creation for Entrepreneurial Firms
Xuan Tian, Boston College
Discussants:
Yi Zhang, Peiking University
Xuan Tian, Boston College
Kai Li, University of British Columbia
Laura Liu, HKUST
11-Jul-07 10:30AM – 12:00PM
Asset Pricing (in Chinese)
Session Chair: Chongfeng Wu, Shanghai Jiao Tong University
资产定价
主持人: 吴冲锋, 上海交通大学
效用调整参数与连续时间资产定价模型
格日勒图, 李仲飞, 中山大学
经营能力、行业特征与股票价格
朱微亮, 刘海龙, 刘富兵, 上海交通大学
前景理论与可转换债券赎回策略
龚朴, 张保柱, 蒙坚玲, 华中科技大学
关联企业市场价值的相关性研究
陈林, 周宗放, 电子科技大学
Discussants:
龚朴, 华中科技大学
宋军, 复旦大学
刘海龙, 上海交通大学
费一文, 上海交通大学
11-Jul-07 12:15 – 1:45PM Conference Lunch
11-Jul-07 2:00 – 3:30PM
Asset Pricing
Session Chair: Henry Cao, Cheung Kong Graduate School of Business
Does Noise Create Size and Value Effects?
Robert Arnott, Jason Hsu, Jun Liu and Harry Markowitz, University of California, San Diego
Feedback Effects and Asset Prices
Emre Ozdenoren and Kathy Yuan, University of Michigan
International Asset Returns and Exchange Rates
Yuming Li, California State University, Fullerton and Maosen Zhong, University of Queensland
Elucidating Equity Premium Using Corporate Dividends and Habit Formation
Jow-ran Chang, Hsu-hsien Chu, National Tsing Hua University and Mao-wei Hung, National Taiwan University
Discussants:
Kathy Yuan, University of Michigan
Chunsheng Zhou, Cheung Kong Graduate School of Business
Rossen Valkanov, University of California, San Diego
Shijie Deng, Georgia Institute of Technology
11-Jul-07 2:00 – 3:30PM
Derivatives II
Session Chair: Mark Holder, Kent State University
Options Returns and the Cross-Sectional Predictability of Implied Volatility
Amit Goyal, Emory University and Alessio Saretto, Purdue University
Enhancing Diversification by Adding Commodity Futures
Leyuan You, University of Alaska Anchorage and Robert Daigler, Florida International University
Making Hong Kong's Warrant Market
Ying-Foon Chow, Jianwei Li, Ming Liu, Chinese University of Hong Kong
The Impact of H-Share Derivatives on the Underlying Equity Market
Steven Wang, Wei Li, and Louis Cheng, Hong Kong Polytechnic University
Discussants:
Andrew Carverhill, University of Hong Kong
Robert Webb, University of Virginia
Chenghu Ma, Xiamen University
Robert Geske, UCLA
11-Jul-07 2:00 – 3:30PM
Mutual Funds
Session Chair: Clemens Sialm, University of Michigan
Outsourcing Mutual Fund Management: Firm Boundaries, Incentives and Performance
Joseph Chen, University of Southern California, Harrison Hong, Princeton University and Jeffrey Kubik, Syracuse University
To Herd or Not to Herd: Do Mimicking Traders Ignore
Kingsley Fong, David Gallagher, Peter Gardner, and Peter Swan, University of New South Wales
Generalized Sharpe Ratios: Performance measures focusing on downside risk
George Jiang, University of Arizona and Kevin Zhu, Ibbotson Associates
Closed-end versus Open-end: Share Redeemability and Cross-fund Subsidization
Peter MacKay and Daniel Wu, Hong Kong University of Science and Technology
Discussants:
Jay Wang, University of Illinois at Urbana-Champaign
Tong Yao, University of Arizona
Robert Kosowski, Imperial College
Tom Nohel, Loyola University
11-Jul-07 2:00 – 3:30PM
Mergers and Acquisitions
Session Chair: Jun Yang, Indiana University
Conflicts of Interests among Shareholders: The Case of Corporate Acquisitions
Jarrad Harford, University of Washington, Dirk Jenter, MIT and Kai Li, University of British Columbia
Selection of Influence? Institutional Investors and Acquisition Targets
Lily Qiu, Brown University and Hong Wan, University of South Florida
Prior Relationship, Information Leakage, and the Choice of M&A Advisor
Xin Chang, Chander Shekha, University of Melbourne, Lewis Tam, University of Macau and Amy Zhu, University of Melbourne
The Wealth Effect of Cross-Border Mergers and Acquisitions in the Chinese Financial Sector
Donghui Li, University of New South Wales
Discussants:
Fangjian Fu, Singapore Management University
Huiyan Qiu, Hong Kong University
Lily Qiu, Brown University
Gaiyan Zhang, University of Missouri in St. Louis
11-Jul-07 2:00 – 3:30PM
Derivatives (in Chinese)
Session Chair: Difang Wan, Xi'an JiaoTong University
金融衍生品市场
主持人：万迪昉, 西安交通大学
同时存在锁定期和信用风险的付息可赎回可转换债券定价解析式
周其源, 吴冲锋, 刘海龙, 上海交通大学
权证对标的股票日收益率影响的实证研究
谭利勇, 杭州电子科技大学财经学院，俞自由，香港岭南大学金融保险系
多期货交叉套期保值策略研究
朱时麟, 王东, 北京大学
基于因子模型的CDO定价研究：正态单因子模型的三种推广
袁子甲, 姚京, 李仲飞, 中山大学
Discussants:
冯宗宪， 西安交通大学
李双燕， 西安交通大学
万迪昉， 西安交通大学
TBA
11-Jul-07 4:00 – 5:30PM
Information and Securities Prices
Session Chair: Ghon Rhee, University of Haiwaii
Do Foreigners Facilitate Information Transmission?
Kee-Hong Bae, Queen’s University, Arzu Ozoguz, University of North Carolina at Chapel Hill and Hongping Tan, University of Northern British Columbia
The Price Formation of Substitute Markets
Michael Chng, Monash University and Aihua Xia, University of Melbourne
Do Bond Rating Changes Affect Information Risk of Stock Trading?
Yan He, Indiana University Southeast, Junbo Wang, City University of Hong Kong and John Wei, Hong Kong University of Science and Technology
Asset Prices When Agents are Marked-to-Market
Gary Gorton, University of Pennsylvania, Ping He, University of Illinois at Chicago and Lixin Huang, City University of Hong Kong
Discussants:
Paul Gao, Northwestern University
Peter Swan, University of New South Wales
Honghui Chen, University of Central Florida
Victor Huang, University of Hawaii
11-Jul-07 4:00 – 5:30PM
Investments
Session Chair: Allaudeen Hameed, National University of Singapore
Unique Factors
Yiyu Shen and Yexiao Xu, University of Texas at Dallas
Forecasted Dispersion and the Cross Section of Expected Returns: What is the Driving Factor?
Ling Cen, John Wei, Hong Kong University of Science and Technology and Jie Zhang, Hong Kong Polytechnic University
Does Geographic Dispersion Affect Firm Valuation?
Wenlian Gao, Dominican University, Lilian Ng, and Qinghai Wang, University of Wisconsin-Milwaukee
Predicted Returns and Sources of Momentum Profits
Qiang Kang, University of Miami and Canlin Li, University of California-Riverside
Discussants:
Ravi Anshuman, Hong Kong University of Science and Technology
Yong Wang, Hong KOng Polytechnic University
Ming Dong, York University
Hong Zhang, INSEAD
11-Jul-07 4:00 – 5:30PM
Imperfections in Markets and Firms
Session Chair: Fangyu Fei，Shanghai Jiao tong University
Taxes on Tax-Exempt Bonds
Andrew Ang, Columbia University, Vineer Bhansali, PIMCO and Yuhang Xing, Rice University
Favoritism or Markets in Capital Allocation?
Mariassunta Giannetti, Stockholm School of Economics and Xiaoyun Yu, Indiana University
Capital Gains Taxes and Stock Return Volatility
Zhonglan Dai, University of Texas at Dallas, Douglas Shackelford, University of North Carolina and Harold Zhang, University of Texas at Dallas
Liquidity Risk in the Corporate Bond Market
Gady Jacoby and Steven Zheng, University of Manitoba, George Theocharides, Sungkyunkwan University
Discussants:
Longkai Zhao, Peking University
Shijie Deng, Georgia Institute of Technology
Steve Wei, Hong Kong Polytechnic University
Ying-Foon Chow, City University of Hong Kong
11-Jul-07 4:00 – 5:30PM
Chinese Stock Markets II
Session Chair: Jia He, Chinese University of Hong Kong
Float, Speculation, and Stock Prices: Evidence from the Share Structure Reform in China
Chuan-Yang Hwang, Shaojun Zhang and Yanjian Zhu, Nanyang Technological University
Asset Float and Stock Prices: Evidence from the Chinese Stock Market
Andrea Beltratti and Marianna Caccavaio, Bocconi University
The Choice of Foreign Primary Listing: China’s Share-Issue Privatization Experience
Qian Sun, Xiamen University, Wilson Tong, Hong Kong Polytechnic University and Yujun Wu, Xiamen University
Analyzing the Dealing Heterogeneity in Traders: Evidence from the China Stock Market
Ping Li, Yong Zeng and Wei Zhang, University of Electronic Science and Technology
Discussants:
Ming Liu, Chinese University of Hong Kong
Chaowei Zhao, Sichuan University
Mengxin Zhao, Bently College
Jibao He, Shenzhen Stock Exchange
11-Jul-07 4:00 – 5:30PM
Monetary Policy (in Chinese)
Session Chair: Jun Lu, Sun Yasen University
货币政策
主持人： 陆军, 中山大学
中国货币政策制定规则的实证分析
范龙振, 复旦大学, 张处, 香港科技大学
资产投资变动与货币政策选择
王韧, 清华大学
当前经济运行中存在的问题及货币政策调控效应分析
王国松, 上海大学
证券资本国际流动形式与货币政策有效性分析
徐明东, 田素华, 复旦大学
Discussants:
吕江林, 江西财经大学
陆军, 中山大学
吴军, 对外经济贸易大学
王国松, 上海大学
12-Jul-07 8:00 – 9:30AM
Investment Management
Session Chair: Doug Foster, Australia National University
Are there Structural Breaks in Realized Volatility?
Chun Liu and John Maheu, University of Toronto
Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation
Yongmiao Hong, Cornell University, Jun Tu, Singapore Management University and Guofu Zhou, Washington University
Characteristic Function Based Estimation of Levy Tempered Stable Stock Price Models and Jump Market Price Calibration
Junye Li, Bocconi University
Stock Price Jumps and Return Predictability
George Jiang and Tong Yao, University of Arizona
Discussants:
Nengjiu Ju, HKUST
Tao Li, Chinese University of Hong Kong
Jin Zhang, University of Hong Kong
Chu Zhang, HKUST
12-Jul-07 8:00 – 9:30AM
Hedge Funds and Mutual Funds
Session Chair: Bing Liang, University of Massachusetts
Side-by-Side Management of Hedge Funds and Mutual Funds
Tom Nohel, Loyola University, Jay Wang, University of Illinois and Lu Zheng, University of California, Irvine
Intermediated Investment Management
Neal Stoughton, University of Calgary, Youchang Wu and Josef Zechner, University of Vienna
Managerial Ability, Open-End Fund Flows, and Closed-End Fund Discounts
Bin Wei, Duke University
Identifying Skilled Managers: Evidence from Mutual fund Short Sales
Honghui Chen, University of Central Florida, Hemang Desai, Southern Methodist University, and Srinivasan Krishnamurthy, SUNY–Binghamton
Discussants:
Youchang Wu, University of Vienna
Tongshu Ma, Binghamton University
Clemens Sialm, University of Michigan
Shu Yan, University of South Carolina
12-Jul-07 8:00 – 9:30AM
IPO and SEO II
Session Chair: Xiaoyun Yu, Indiana University
Venture Capital, IPO Underpricing, and Going-Public Decisions
George Kanatas, Rice University and Chris Stefanadis, University of Arizona
Underpricing, Overbidding and the Effects of Entry on IPO Auctions: Evidence from Taiwan
Yao-Min Chiang, National Chengchi University, Yiming Qian, University of Iowa and Ann Sherman, University of Notre Dame
The Equity Ownership of Brokerage Firms in IPOs and the Stock Recommendations of Sell-side Analysts
Xi Li, University of Miami
Revealing the Alignment Effect of Ownership Concentration in a Closely Held
Xueping Wu, City University of Hong Kong and Zheng Wang, CITIC Fund Management
Discussants:
Jun Yang, Indiana University
Dalida Kadyrzhanova, University of Maryland
Ge Zhang, University of New Orleans and Baruch College
Tracy Wang, University of Minnesota
12-Jul-07 8:00 – 9:30AM
Behavioral Finance (in Chinese)
Session Chair: Dengshi Huang, Southwest Jiaotong University
行为金融
主持人：黄登仕, 西南交通大学
我国上市公司股权分置改革中的锚定效应研究
许年行, 吴世农, 厦门大学
噪音与长期套利：一个多代交叠噪音交易模型
许云辉, 李仲飞, 中山大学
可转债投资者的转股行为是理性的吗？中国市场的实证研究
张峥, 魏聃, 唐国正, 刘力, 北京大学
奈特不确定性与动量效应机制：一个统一的模型
徐元栋, 南京航空航天大学，刘思峰，南京航空航天大学，黄登仕，西南交通大学
Discussants:
周嘉南, 西南交通大学
陈伟忠, 同济大学
朱宏泉, 西南交通大学
韩立岩, 北京航空航天大学
12-Jul-07 8:00 – 9:30AM
Market Efficiency (in Chinese)
Session Chair: Qingshi Wang, Dongbei University of Finance and Economics
市场的有效性
主持人：王庆石, 东北财经大学
退市监管与应计异象
李远鹏, 复旦大学, 牛建军, 北京大学
更换会计师事务所时机对年报发布时滞的影响及股票市场的反应
洪渊, 中国人民大学, 李鹏飞, 日本爱知大学与中国人民大学
中国股市和债市波动溢出效应的MV-GARCH分析
王璐, 庞皓, 西南财经大学
中国上市公司年度报告自愿披露水平与股票流动性的实证研究
乔旭东, 陈亮, 西安交通大学
Discussants:
赵进文, 东北财经大学
陈梅, 东北财经大学
茅宁, 香港中文大学
何佳, 香港中文大学
12-Jul-07 10:00AM – 11:30AM
Corporate Governance III
Session Chair: Jun Qian, Boston College
Dynamic Governance
Thomas Noe and Michael Rebello, Tulane University
The Effect of Board Structure on Firm Value in an Emerging Market
Bernard Black and Woochan Kim, University of Texas at Austin
Corporate Political Donation: Investment or Agency
Rajesh Aggarwal, Felix Meschke and Tracy Wang, University of Minnesota
Corporate Governance Mechanisms and Corporate Cash Holdings
Yuanto Kusnadi, Hong Kong University of Science and Technology
Discussants:
Xiaoyun Yu, Indiana University
Mengxin Zhao, Bentley College
Jason Wei, Federal Reserve Bank of New York
Xueping Wu, City University of Hong Kong
12-Jul-07 10:00AM – 11:30AM
Idiosyncratic Volatility
Session Chair: Mitch Warachka, Singapore Management University
Return Reversals, Idiosyncratic Risk and Expected Returns
Wei Huang, Qianqiu Liu, Ghon Rhee and Liang Zhang, University of Hawaii at Manoa
Cross Sectional Variation of Stock Returns: Liquidity and Idiosyncratic Risk
Matthew Spiegel, Yale University and Xiaotong Wang, Penn State University
The Relation between Time-Series and Cross-Sectional Effects of Idiosyncratic Variance on Stock Returns in G7 Countries
Hui Guo, Federal Reserve Bank of St. Louis and Robert Savickas, George Washington University
Idiosyncratic Volatility and Skewness: Time Series Relations and the Cross-Section of Expected Returns
Brian Boyer, Todd Mitton, and Keith Vorkink, Brigham Young University
Discussants:
Joe Zhang, Singapore Management University
Chu Zhang, HKUST
Fangjian Fu, Singapore Management University
Rossen Valkanov, University of California, San Diego
12-Jul-07 10:00AM – 11:30AM
Asset Pricing: Empirical II
Session Chair: Miaowei Hung, National Taiwan University
Model Comparison Using the Hansen-Jagannathan Distance
Raymond Kan, University of Toronto and Cesare Robotti, Federal Reserve Bank of Atlanta
Failure of Asset Pricing Models: Transaction Cost, Irrationality, or Missing Factor
Joon Chae and Cheol-Won Yang, Seoul National University
Return Predictability, Economic Profits, and Model Mis-Specification: How Important Are the Better Specified Models?
Yufeng Han, Tulane University
Which Trade Sizes Move Stock Prices in a Fully Automated Order-Driven Market? A Case of the Stock Exchange of Thailand
Charlie Charoenwong and Nattawut Jenwittayaroje, Nanyang Technological University and David Ding, University of New South Wales Asia
Discussants:
Yufen Han, Tulane University
Raymond Kan, University of Toronto
Joon Chae, Seoul National University
Andrea Beltratti, Bocconi University
12-Jul-07 10:00AM – 11:30AM
Banking (in Chinese)
Session Chair: Chun Chang, China-Europe International Business School
银行
主持人：张春, 中欧国际工商学院
银行业开放条件下中国国有商业银行与外资银行的策略性竞争—基于两种混合寡占模型的分析
侯晓辉, 周翔翼, 西安交通大学, 姬升良, 西安工业大学
银行监督，企业社会性成本与贷款融资体系
倪铮, 清华大学, 张春, 中欧国际工商学院
大贷款人角色：银行具有监督作用吗？
胡奕明, 上海交通大学, 谢诗蕾, 浙江工商大学
国有银行与股份制银行资产组合配置的差异研究
贾春新, 北京大学
Discussants:
Qiu Huiyan, 香港大学
冯宗宪, 西安交大
廖冠民, 中央财经大学
韩立岩, 北航
12-Jul-07 10:00AM – 11:30AM
Corporate Finance II (in Chinese)
Session Chair: Aiguo Kong, Fudan University
公司理财 II
主持人：孔爱国, 复旦大学
中国上市公司资本结构的决定因素
张春, 中欧国际工商学院, 廖冠民, 中国人民大学
经理人股票期权主观价值的影响因素
李双燕, 万迪昉, 史亚蓉, 西安交通大学
中国上市公司并购价值效应及其变化趋势分析
杨安华, 赵昌文, 浦自立, 四川大学, 杨纪军, 西南财经大学
公司财务理论与行为-来自167家中国上市公司的证据
李悦, 熊德华, 张峥, 刘力, 北京大学
Discussants:
吕长江, 复旦大学
范龙振, 复旦大学
王建琼, 西南交通大学
张庆昌, 四川大学
12-Jul-07 11:45 – 1:15PM Conference Lunch
12-Jul-07 1:30 – 3:00PM
Capital Structure
Session Chair: Andrew Chen, Southern Methodist University
Debt Governance, Credit Spread Dynamics and Managerial Incentives
Chenyang Wei, Federal Reserve Bank of New York
Seasoned Equity Offerings and Capital Structure
Fangjian Fu, Singapore Management University
Do Financing Expectations Affect Announcement and Long-run Stock Performance?
Mark Kamstra, Debarshi Nandy, York University and Pei Shao, University of Northern British Columbia
Financing Decisions in Newly Privatized Chinese Firms: Does a Stock Market Quotation Really Provide Disciplining?
Nancy Huyghebaert, Qi Quan and Lijian Sun, Katholieke Universiteit Leuven
Discussants:
Rong Wang, George Mason University
Ping Jiang, City University of Hong Kong
Xueping Wu, City University of Hong Kong
Andrew Chen, Southern Methodist University
12-Jul-07 1:30 – 3:00PM
Behavioral Finance II
Session Chair: Peter MacKay, Hong Kong University of Science and Technology
The Influence of Behavioral Biases on Stock Returns
Mitch Warachka, Singapore Management University
House Money Effect: Evidence from the Taiwan Futures Exchange
Yu-Jane Liu, National Chengchi University, Chih-Ling, Tsai University of California, Davis, Ming-Chun Wang, National Chengchi University and Ning Zhu, University of California, Davis
Market Sentiment, Investor Size and Reaction to Firm-Specific News
Wen He, Mujtaba Mian and Srinivasan Sankaraguruswamy, National University of Singapore
Old Money Matters: The Sensitivity of Mutual Fund Redemption Decisions to Past Performance
Zoran Ivkovic and Scott Weisbenner, University of Illinois at Urbana-Champaign
Discussants:
Scott Weisbenner, University of Illinois
Ning Gao, Manchester Business School
Mitch Warachka, Singapore Management University
Daniel Wu, Hong Kong University of Science and Technology
12-Jul-07 1:30 – 3:00PM
Corporate Finance III
Session Chair: Jianjun Miao, Boston University
The Marketing Role of Managing Underwriters in Seasoned Equity Offerings
Rongbing Huang, Kennesaw State University and Donghang Zhang, University of South Carolina
Staged-Financing Contract with Accounting Fraud
Hefei Wang, University of Illinois at Chicago
Firm and Underwriter Reputations and the Pricing of Capital Raising ADRs and Restricted GDRs
Michael Pinegar, Brigham Young University and Ravi Ravichandran, Loyola University Chicago
Ownership Structure, Control Chain, and Cash Dividend Policy: Evidence from China
William Bradford, University of Washington, Chao Chen, California State University and Song Zhu, Tsinghua University
Discussants:
Heifei Wang, University of Illinois at Chicago
Donghang Zhang, University of South Carolina
Chao Chen, California State University
Michael Pinegar, Brigham Young University
12-Jul-07 1:30 – 3:00PM
Exchange rate and Credit (in Chinese)
Session Chair: David Li, Tsinghua University
汇率，信贷
主持人: 李稻葵, 清华大学
中国高额外汇储备管理及其币种结构研究
刘攀, 朱俊波, 西南财经大学
政策目标、目标冲突与人民币最优汇率制度弹性
范从来, 刘晓辉, 南京大学
人民币汇率波动:测算及国际比较
朱孟楠, 严佳佳, 厦门大学
我国信贷融资中隐性合约对租值的分割
殷孟波，翁舟杰，西南财经大学
分类进出口对人民币实际汇率变动的敏感性分析
方先明, 裴平, 熊鹏, 南京大学
Discussants:
杨思群, 清华大学
龚刚, 清华大学
黄海洲, 清华大学
李稻葵, 清华大学
张陶伟, 清华大学
12-Jul-07 1:30 – 3:00PM
Market Microstructure (in Chinese)
Session Chair: Xiaozu Wang, Fudan University
市场微观机构
主持人：王小卒, 复旦大学
市场透明与市场效率：一个基于纯粹限价指令市场的模型
王茂斌, 中山大学, 孔东民, 华中科技大学
什么影响了价差？－基于深圳股市的实证研究
雷觉铭, 曾勇, 李平, 电子科技大学
证券市场日内流动性的综合度量、特征与信息含量研究
曹迎春 , 刘善存, 邱菀华,北京航空航天大学经济管理学院
运用生存分析与变点理论对深证成指的研究
雷鸣, 南京财经大学, 谭常春, 缪柏其, 中国科学技术大学
Discussants:
王小卒,复旦大学
欧阳红兵,华中科技大学
王茂斌,中山大学
黄建兵, 复旦大学
12-Jul-07 3:30 – 5:00PM
Banking II
Session Chair: Li Gan, Texas A&M University
Bank Loans with Chinese Characteristics
Warren Bailey, Cornell University, Wei Huang, University of Hawaii and Zhishu Yang, Tsinghua University
Analysis on Cost of Securitization and Its Implication on Asset Quality Deterioration in Banks with Empirical Evidence
Yan Dong, Southwestern University of Finance and Economics
Market Power of State Commercial Bank in China
Chun-Yu Ho, Boston University
A Structural Empirical Analysis of Retail Banking Competition: the Case of Hungary
Jozsef Molnar, Bank of Finlan, Marton Nagy, Magyar Nemzeti Bank and Csilla Horvath, Radboud University Nijmegen
Discussants:
Ling Huang, University of Essex
Shiyuan Wang, Southwestern University of Finance and Economics
Liwei Shan, Southwestern University of Finance and Economics
Han Li, Southwestern University of Finance and Economics
12-Jul-07 3:30 – 5:00PM
Corporate Finance IV
Session Chair: Xueping Wu, City University of Hong Kong
Firms' Choice of Public Issuance: A Structural Static Framework
Christopher Lamoureux, University of Arizona and Ali Nejadmalayeri, Oklahoma State University
Board Leadership Structure, Political Dynamics, and CEO Turnovers: Evidence from China’s Listed Firms
Sonia Wong, Lingnan University and Yang Yong, University of Science and Technology of China
Executive Compensation and Financial Constraints
Rong Wang, College of William and Mary
Ownership Structure and IPO Valuation
Re-Jin Guo, University of Illinois at Chicago
Discussants:
Simba Chang, University of Merlbourne
Winnie Peng, Hong Kong University of Science and Technology
Nancy Huyghebaert, Katholieke Universiteit Leuven
Donghang Zhang, University of South Carolina
12-Jul-07 3:30 – 5:00PM
Term Structure of Interest Rates
Session Chair: Jun Liu, University of California, San Diego
Empirically Confronting Stochastic Singularity: An Application to the Cox, Ingersoll, and Ross Model
Christopher Lamoureux and Kenneth Roskelley, University of Arizona
Pricing the Term Structure of Inflation Risk Premia: Theory and Evidence from TIPS
Ren-Raw Chen, Rutgers University, Bo Liu, Fitch Ratings and Xiaolin Cheng, Moody’s Investors Service
A Pure Test for the Elasticity of Yield Spreads
Gady Jacoby, University of Manitoba, Chuan Liao, Ohio State University, Jonathan A. Batten, Hong Kong University of Science and Technology
Modeling Information Flow along the Yield Curve
Mark Salmon and Wing Wah Tham, University of Warwick
Discussants:
Jingzhi Huang, Penn State University
Jun Pan, MIT
Bo Zhu, Southwestern University of Finance and Economics
Nengjiu Ju, HKUST
12-Jul-07 3:30 – 5:00PM
Capital Market (in Chinese)
Session Chair: Shiwu Zhu, Tsinghua University
资本市场
主持人: 朱世武， 清华大学
行为金融视角下的联动效应研究——中国股票市场的实证
茅宁, 南京大学
机构投资者一定能够稳定股市吗？——来自中国的经验证据
何佳, 香港中文大学, 何基报, 王霞, 陈建瑜, 深圳证券交易所综合研究所
满意绩效期权的设计、定价与应用
蔡明超, 费一文, 费方域, 上海交通大学
银行间回购利率的基准效应研究
董乐, 清华大学
Discussants:
冯芸, 上海交通大学
王周伟, 上海师范大学
阎海峰, 南京财经大学
高峰, 清华大学
12-Jul-07 3:30 – 5:00PM
Asset Pricing: Empirical II (in Chinese)
Session Chair: Wei Zhang, Tianjian University
资产定价: 实证研究 II
主持人: 张维, 天津大学
深圳股市收益率及其波动性与交易量关系的经验分析
戴晓凤, 张清海, 湖南大学
中国资本市场价值溢价与CAPM实证研究
宿成建, 许舜娟, 汕头大学
我国公司交叉上市的溢出效应分析
陈国进, 王景, 厦门大学
沪深权证市场分析
王安兴, 丁峰, 上海财经大学
Discussants:
刘海龙, 上海交通大学
赵昌文, 四川大学
曾勇, 电子科技大学
龚朴, 华中科技大学
