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2013 China International Conference in Finance
July 10-13, 2013 Hilton Hotel, Shanghai, China 2013 中国金融国际年会 7 月 10 日 至 13 日 CONFERENCE PROGRAM
Registration
Wednesday, July 10, 2013
14:00-17:00
Industry Symposium (Organized by TCW) -
Ballroom ABC, 2F
Wednesday, July 10, 2013
18:00-19:30
Conference Reception (Sponsored by TCW) -
Sui Yuan, 2F
Thursday, July 11, 2013
8:30-10:00AM
Capital Raising and Capital Structure -
Tianjin Room, 2F
Session Chair: Sudipto Dasgupta, Hong Kong University of Science & Technology
Bank Lending Relationships and the Use of Performance-Sensitive Debt
Tim Adam, Humboldt University Daniel Streitz, Humboldt University Legal Institutions and Capital Raising Activities of Newly Public Firms Azizjon Alimov, City University of Hong Kong Michael Hertzel, Arizona State University Operating Inflexibility, Profitability and Capital Structure Zhiyao Chen, University of Reading Jarrad Harford, University of Washington Avraham Kamara, University of Washington Discussants: Zexi Wang, Swiss Finance Institute, University of Zurich Fangjian Fu, Singapore Management University Xueping Wu, City University of Hong Kong Thursday, July 11, 2013
8:30-10:00AM
Mutual Funds -
Shanghai Room, 2F
Session Chair: Lu Zheng, University of California, Irvine and China Academy of Financial Research
The Mutual Fund Industry Worldwide: Explicit and Closet Indexing, Fees, and Performance
Martijn Cremers, University of Notre Dame Miguel Ferreira, Nova School of Business and Economics Pedro Matos, University of Virginia Laura Starks, University of Texas at Austin Managerial Rents vs. Shareholder Value in Delegated Portfolio Management:The Case of Closed-End Funds Youchang Wu, University of Wisconsin - Madison Russ Wermers, University of Maryland Josef Zechner, Vienna University Economics and Business Administration The Predictability of Managerial Heterogeneities in Mutual Funds Jun Huang, Shanghai University of Finance and Economics Yan Wang, Chinese University of Hong Kong Excess Autocorrelation and Mutual Fund Performance Xi Dong, INSEAD Massimo Massa, INSEAD Discussants: Jay Wang, University of Oregon Meijun Qian, National University of Singapore and WFIC Paul Burik, Shanghai Advanced Institute of Finance, SJTU Li Yong, Mercy College Thursday, July 11, 2013
8:30-10:00AM
Market Liquidity -
Magnolia Room, 2F
Session Chair: Jennifer Huang, Cheung Kong Graduate School of Business
Liquidity Shocks and Stock Market Reactions
Turan Bali, Georgetown University Lin Peng, City University of New York Yannan Shen, City University of New York Yi Tang, Fordham University The Illiquidity Premium: International Evidence Yakov Amihud, New York University Allaudeen Hameed, National University of Singapore Wenjin Kang, National University of Singapore Huiping Zhang, Shanghai University of Finance and Economics Identifying Cross-Sided Liquidity Externalities Johannes Skjeltorp, Norges Bank Elvira Sojli, Erasmus University and Duisenberg school of finance Wing Wah Tham, Erasmus University and Tinbergen Institute Liquidity Premium in the Eye of Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market Jingzhi Huang, Penn State University Zhenzhen Sun, Siena College Tong Yao, University of Iowa Tong Yu, University of Rhode Island Discussants: Gang Xiao, Renmin University of China Tilan Tang, Clemson University Ying Wu, Cornell University Song Han, Federal Reserve Board Thursday, July 11, 2013
8:30-10:00AM
The Cross Sections of Asset Returns -
Jasmine Room, 2F
Session Chair: Xiaoyan Zhang, Purdue University and China Academy of Financial Research
Digesting Anomalies: An Investment Approach
Kewei Hou, Ohio State University Chen Xue, University of Cincinnati Lu Zhang, Ohio State University and NBER Trends in Capital Market Anomalies Tarun Chordia, Emory University Avanidhar Subrahmanyam, University of California, Los Angeles Qing Tong, Singapore Management University Informed Trading and Expected Returns James Choi, Yale University and NBER Li Jin, Oxford University and Peking University Hongjun Yan, Yale University Trend Factor: A New Determinant of Cross-Section Stock Returns Yufeng Han, University of Colorado Guofu Zhou, Washington University in St. Louis and China Academy of Financial Research Discussants: Jialin Yu, Hong Kong University of Science & Technology Nan Li, National University of Singapore Roger Loh, Singapore Management University Fuwei Jiang, Singapore Management University Thursday, July 11, 2013
8:30-10:00AM
银行与信贷 -
Lily Room, 2F
主持人: 宋清华, 中南财经政法大学
持股金融机构、融资约束与企业现金储备
朱松, 北京师范大学 银企关系差异与IPO抑价：基于中国上市公司的实证分析 郝项超, 南开大学 石劲, 澳洲国立大学 杨坚, 科罗拉多大学 中国上市银行系统性风险及其影响因素研究 陆静, 重庆大学 胡晓红, 重庆大学 我国银行业系统性风险研究——基于拓展的未定权益分析法 吴恒煜, 西南财经大学 胡锡亮, 西南财经大学 吕江林, 江西财经大学 Discussants: 顾露露, 中南财经政法大学 陈欣, 上海交通大学 吕江林, 江西财经大学 陆静, 重庆大学 Thursday, July 11, 2013
8:30-10:00AM
Theoretical Corporate Finance -
Beijing Room, 2F
Session Chair: Neng Wang, Columbia University and Shanghai University of Finance and Economics
Agency, Firm Growth, and Managerial Turnover
Ron Anderson, London School of Economics Cecilia Bustamante, London School of Economics Stephane Guibaud, London School of Economics Delegated Investment in a Dynamic Agency Model Florian Hoffmann, University of Frankfurt Sebastian Pfeil, University of Frankfurt A Mechanism Design Model of Firm Dynamics: The Case of Limited Commitment Hengjie Ai, University of Minnesota Dana Kiku, University of Pennsylvania Rui Li, Purdue University Optimality of Debt under Flexible Information Acquisition Ming Yang, Duke University Discussants: John Zhu, University of Pennsylvania Wei Cui, Princeton University Nengjiu Ju, Hong Kong University of Science & Technology and Shanghai Advanced Institute of Finance, SJTU Haoxiang Zhu, Massachusetts Institute of Technology Thursday, July 11, 2013
10:30-12:00AM
资产定价 -
Lily Room, 2F
主持人: 郑振龙, 厦门大学
住宅属性、基础教育资源与购房者意愿价格——基于北京、上海、广州、深圳52个区县的数据分析
李仲飞, 中山大学 张浩, 中山大学 基于随机折现因子方法的流动性定价机制研究 张玉龙, 北京大学 李怡宗, 北京大学 基于Bass 随机扩散模型的文化资产证券化定价研究 曹宏铎, 中山大学 李旲, 中山大学 张晓云, 中山大学 现金流信息、现金流风险与股票收益定价研究-基于中国股票市场的检验 宿成建, 贵州财经大学 Discussants: 韩立岩, 北京航空航天大学 陈蓉, 厦门大学 胡（韦华）, 澳大利亚科庭大学 李仲飞, 中山大学 Thursday, July 11, 2013
10:30-12:00AM
Integrated Financial Management -
Jasmine Room, 2F
Session Chair: Pengjie Gao, University of Notre Dame
As Certain as Debt and Taxes: Estimating the Tax Sensitivity of Leverage from Exogenous State Tax Changes
Florian Heider, European Central Bank Alexander Ljungqvist, New York University and NBER Rational Financial Management: Evidence from SEOs Michael Barclay, University of Rochester Fangjian Fu, Singapore Management University Clifford W. Smith, University of Rochester Cost Structure and Capital Structure Qianqian Du, University of Stavanger Laura Xiaolei Liu, Hong Kong University of Science & Technology Rui Shen, Erasmus University Growth Uncertainty and the Persistence of Investment and Financial Policies Xueping Wu, City University of Hong Kong Chau Kin Au Yeung, Chinese University of Hong Kong Discussants: Clemens Sialm, University of Texas at Austin and NBER Dirk Hackbarth, University of Illinois at Urbana-Champaign Jaewon Choi, University of Illinois Yaxuan Qi, City University of Hong Kong Thursday, July 11, 2013
10:30-12:00AM
Macroeconomics and Finance -
Magnolia Room, 2F
Session Chair: Zhi Da, University of Notre Dame
Wage Rigidity: A Solution to Several Asset Pricing Puzzles
Jack Favilukis, London School of Economics and Political Science and FMG Xiaoji Lin, Ohio State University A Macroeconomic Foundation for the Equilibrium Term Structure of Interest Rates Howard Kung, Duke University Risk Aversion Sensitive Real Business Cycles Zhanhui Chen, Nanyang Technological University Ilan Cooper, BI, Norwegian Business School and Tel Aviv University Paul Ehling, BI, Norwegian Business School Costas Xiouros, BI, Norwegian Business School and University of Cyprus Dividend Policy, Investment, and Stock Returns Seung Mo Choi, International Monetary Fund Shane Johnson, Texas A&M University Hwagyun Kim, Texas A&M University Changwoo Nam, Korea Development Institute Discussants: Erica Li, Cheung Kong Graduate School of Business Xiaoji Lin, Ohio State University Jun Li, University of Texas at Dallas Wei Yang, Indiana University Thursday, July 11, 2013
10:30-12:00AM
International Equity Investment -
Shanghai Room, 2F
Session Chair: David Ng, Cornell University
The Dark Side of ETF Investing: A World-Wide Analysis
Si Cheng, National University of Singapore Massimo Massa, INSEAD Hong Zhang, INSEAD and Cheung Kong Graduate School of Business Does Institutional Ownership Matter for International Stock Return Comovement? José A.Faias, Catholic University of Portugal Miguel Ferreira, Nova School of Business and Economics Pedro Matos, University of Virginia Pedro Santa-Clara, Nova School of Business and Economics Frequent-but-Small and Infrequent-but-Large Return Asymmetries in International Equity Markets Bruno Solnik, Hong Kong University of Science & Technology Thaisiri Watewai, Chulalongkorn University Country-Specific Attention and Security Returns Qinghao Mao, Erasmus University K.C. John Wei, Hong Kong University of Science & Technology Discussants: Youchang Wu, University of Wisconsin - Madison Ying Wu, Cornell University Zhaogang Song, Federal Reserve Board of Governors Yu Yuan, Shanghai Advanced Institute of Finance, SJTU and WFIC Thursday, July 11, 2013
10:30-12:00AM
Monitoring, Risk Taking, and Bailouts -
Beijing Room, 2F
Session Chair: Nandini Gupta, Indiana University
Creditor Governance with Loan-to-Loan and Loan-to-Own
Kai Li, University of British Columbia and China Academy of Financial Research Wei Wang, Queen's University Hedge Fund Activists: Do They Take Cues from Institutional Exit? Nickolay Gantchev, University of North Carolina at Chapel-Hill Chotibhak Jotikasthira, University of North Carolina at Chapel-Hill Risk-taking by Banks: What Did We Know and When Did We Know It? Sugato Bhattacharyya, University of Michigan Amiyatosh Purnanandam, University of Michigan Shareholder Empowerment and Bank Bailouts Daniel Ferreira, London School of Economics, CEPR and ECGI David Kershaw, London School of Economics Tom Kirchmaier, University of Manchester and FMG Edmund-Philipp Schuster, London School of Economics Discussants: Yuejuan Yu, Tilburg University Yong Chen, Texas A&M University Yifei Mao, Indiana University Abhiroop Mukherjee, Hong Kong University of Science & Technology Thursday, July 11, 2013
10:30-12:00AM
Managerial Pay, Incentives, and Turnover -
Tianjin Room, 2F
Session Chair: Garry Twite, University of Texas at Austin
Holding On For Good Times: The Information Content of the CEO's Voluntary Equity Exposure
Tao Chen, Chinese University of Hong Kong Vidhi Chhaochharia, University of Miami Rik Sen, Hong Kong University of Science & Technology Does Improved Disclosure Lead to Higher Executive Compensation? – Evidence from Two Opposing Accounting and Auditing Standards Rule Changes Jun Lu, Central University of Finance and Economics Zhen Shi, Georgia State University CEO Turnover-Performance Sensitivity in Private Firms Huasheng Gao, Nanyang Technological University Jarrad Harford, University of Washington Kai Li, University of British Columbia and China Academy of Financial Research Performance share plans: Valuation, Optimal Design, and Empirical Tests Craig W. Holden, Indiana University Daniel S. Kim, Peking University Discussants: Huasheng Gao, Nanyang Technological University Qiaoqiao Zhu, Australian National University Rik Sen, Hong Kong University of Science & Technology Garry Twite, University of Texas at Austin Thursday, July 11, 2013
12:15 – 13:30
Conference Lunch -
Sui Yuan, 2F
Thursday, July 11, 2013
13:30 – 14:30
Keynote Speech -
Ballroom AB, 2F
Keynote Speaker: Darrell Duffie, Stanford University Thursday, July 11, 2013
14:45-16:15
Optimal Portfolio Choice -
Tianjin Room, 2F
Session Chair: Hong Liu, Washington University in St. Louis and China Academy of Financial Research
Unemployment Risks and Optimal Retirement in an Incomplete Market
Alain Bensoussan, University of Texas at Dallas,City University Hong Kong and Ajou University Bong-Gyu Jang, Pohang University of Science and Technology Seyoung Park, Pohang University of Science and Technology Implicit Incentives of Mutual Fund Flows and Liquidity Premia Min Dai, National University of Singapore Luis Goncalves-Pinto, National University of Singapore Jing Xu, National University of Singapore Defined Contribution Pension Plans: Sticky or Discerning Money? Clemens Sialm, University of Texas at Austin and NBER Laura Starks, University of Texas at Austin Hanjiang Zhang, Nanyang Technological University Ambiguous Jumps, Fears and Robust Portfolio Strategies Xing Jin, University of Warwick Xudong Zeng, Shanghai University of Finance and Economics Discussants: Mark Loewenstein, University of Maryland Yang Zhou, Tilburg University Zhi Da, University of Notre Dame Hening Liu, University of Manchester Thursday, July 11, 2013
14:45-16:15
机构投资者 -
Lily Room, 2F
主持人: 赵欣舸, 中欧国际工商学院
询价制度改革与中国股市IPO“三高”问题——基于网下机构投资者报价视角的研究
俞红海, 南京大学 李心丹, 南京大学 机构投资者羊群行为与股价崩盘风险 许年行, 中国人民大学 于上尧, 中国人民大学 伊志宏, 中国人民大学 机构和个人投资者行为的比较研究——基于开放式基金投资者的分析 左大勇, 上海财经大学 陆蓉, 上海财经大学 营销投入与基金资金流动——基于中国开放式基金的经验证据 李志生, 中南财经政法大学 徐谦, 中南财经政法大学 刘淳, 清华大学经济管理学院 Discussants: 唐涯, 北京大学 左大勇, 上海财经大学 张华, 中欧国际工商学院 田澍, 复旦大学 Thursday, July 11, 2013
14:45-16:15
Monetary Policy and Asset Pricing -
Magnolia Room, 2F
Session Chair: Jun Liu, Shanghai Advanced Institute of Finance, SJTU and University of California, San Diego
What do Nominal Rigidities and Monetary Policy tell us about the Real Yield Curve?
Alex Hsu, Georgia Tech University Erica X.N. Li, Cheung Kong Graduate School of Business Francisco Palomino, University of Michigan The Economics of Policymaking: Theory and Evidence in the Dynamics of Interest Rates Swee Sum Lam, National University of Singapore Tao Li, City University of Hong Kong Weina Zhang, National University of Singapore Estimating Monetary Policy Rules with Serially Correlated Monetary Policy Shocks Casper de Vries, Erasmus University Rotterdam and Tinbergen Institute Wei Li, Erasmus University Rotterdam and Tinbergen Institute Discussants: Canlin Li, Federal Reserve Board Nengsheng Fang, Southwestern University of Finance and Economics Jingyi Zhang, Shanghai Advanced Institute of Finance, SJTU Thursday, July 11, 2013
14:45-16:15
Liquidity, Cash Holding and Financial Constraints -
Jasmine Room, 2F
Session Chair: Sugato Bhattacharyya, University of Michigan
Why Does Cash Coexist with Unused Lines of Credit?
Qi Sun, University of Southern California Firms’ cash holdings and uncertainty Ruoran Gao, Cornell University Yaniv Grinstein, Cornell University Short Sellers, Institutional Investors, and Corporate Cash Holdings Zexi Wang, Swiss Finance Institute, University of Zurich Corporate Cash Hoarding: The Role of Just-in-Time Adoption Xiaodan Gao, University of British Columbia Discussants: Zhiwei Xu, Hong Kong University of Science & Technology Zhen Wang, Shanghai University of Finance and Economics Tomislav Ladika, University of Amsterdam Limin Xu, Nanyang Technological University Thursday, July 11, 2013
14:45-16:15
Mergers and Acquisitions I -
Shanghai Room, 2F
Session Chair: Kai Li, University of British Columbia and China Academy of Financial Research
The Role of Technological Synergy in Mergers and Acquisitions
James Ang, Florida State University Chaopeng Wu, Xiamen University Do Banks Monitor Corporate Decisions? Evidence from Bank Financing of Mergers and Acquisitions Sheng Huang, Singapore Management University Ruichang Lu, National University of Singapore Anand Srinivasan, National University of Singapore Worker-Manager Alliance and Shareholder Returns from Acquisitions Cong Wang, Chinese University of Hong Kong Fei Xie, Clemson University Cross-Border Mergers and Acquisitions: The Role of Private Equity Firms Mark Humphery-Jenner, University of New South Wales Zacharias Sautner, University of Amsterdam Jo-Ann Suchard, University of New South Wales Discussants: Jan Bena, University of British Columbia Pei Shao, University of Lethbridge Huasheng Gao, Nanyang Technological University Pedro Matos, University of Virginia Thursday, July 11, 2013
14:45-16:15
Financial Intermediary Capital -
Beijing Room, 2F
Session Chair: Dirk Hackbarth, University of Illinois at Urbana-Champaign
On the Design of Contingent Capital with Market a Trigger
Suresh Sundaresan, Columbia University Zhenyu Wang, Indiana University and China Academy of Financial Research Bank Competition and Leverage Adjustments Fuxiu Jiang, Renmin University of China Zhan Jiang, Shanghai Advanced Institute of Finance, SJTU Jicheng Huang, Renmin University of China Kenneth Kim, Renmin University of China Money Creation by Banks, Bank Liquidity, and Central Banking Tianxi Wang, University of Essex Contingent Capital with Repeated Interconversion between Debt and Equity Zhaojun Yang, Hunan University Zhiming Zhao, Hunan University Discussants: Tianxi Wang, University of Essex Vyacheslav Fos, University of Illinois at Urbana-Champaign Andrea M. Buffa, Boston University Pab Jotikasthira, University of North Carolina-Chapel Hill Thursday, July 11, 2013
16:45-18:15
Derivative Securities -
Shanghai Room, 2F
Session Chair: Charles Cao, Penn State University & PBC School of Finance, Tsinghua University
Conditional Jump Intensity, Conditional Expected Jump Size, and Relative Stock Price Level
Gang Li, Hong Kong Polytechnic University Chu Zhang, Hong Kong University of Science & Technology Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets Peter Christoffersen, University of Toronto, CBS, and CREATES Kris Jacobs, University of Houston and Tilburg University Bingxin Li, University of Houston Model Specification and Time-varying Jump Intensity: Evidence from S&P500 Returns and Options Andrew Carverhill, City University of Hong Kong Dan Luo, Shanghai University of Finance and Economics Does Option Trading Convey Stock Price Information? Jianfeng Hu, City University of New York Discussants: George Jiang, Washington State University Xingguo Luo, Zhejiang University Yintian Wang, School of Economics and Management, Tsinghua University Shu Yan, University of South Carolina Thursday, July 11, 2013
16:45-18:15
Information and Securities Prices -
Tianjin Room, 2F
Session Chair: Liyan Yang, University of Toronto
Have Financial Markets Become More Informative?
Jennie Bai, Federal Reserve Bank of New York Thomas Philippon, New York University, NBER and CEPR Alexi Savov, New York University Information Leakage and Wealth Transfer in a Connected World Wenli Huang, Boston University Hai Lu, University of Toronto Xiaolu Wang, Iowa State University Strategic Informed Trades, Diversification, and Expected Returns Judson Caskey, University of Texas John Hughes, University of California, Los Angeles Jun Liu, Shanghai Advanced Institute of Finance, SJTU and University of California, San Diego Institutional Investors and Equity Prices: Information, Price Impact and Arbitrage Bing Han, University of Toronto and China Academy of Financial Research Dongmin Kong, Huazhong University of Science and Technology Discussants: Pengjie Gao, University of Notre Dame Yu Yuan, Shanghai Advanced Institute of Finance, SJTU and WFIC Liyan Yang, University of Toronto Jun Li, University of Texas, Dallas Thursday, July 11, 2013
16:45-18:15
Currency and Exchange Rates -
Magnolia Room, 2F
Session Chair: Vivian Yue, Federal Reserve Board of Governors
Currency Premia and Global Imbalances
Pasquale Della Corte, Imperial College London Steven J. Riddiough, University of Warwick Lucio Sarno, City University London Currency Carry Trades and Funding Risk Sara Ferreira Filipe, University of Luxembourg Matti Suominen, Aalto University Variance Risk Premiums and the Forward Premium Puzzle Juan M. Londono, Federal Reserve Board Hao Zhou, PBC School of Finance, Tsinghua University Macroeconomic Fundamentals and Exchange Rate Dynamics: A No-Arbitrage Multi-Country Model Weiwei Yin, Capital University of Economics and Business Discussants: David Ng, Cornell University Pasquale Della Corte, Imperial College London Wei Yang, Indiana University Vivian Yue, Federal Reserve Board of Governors Thursday, July 11, 2013
16:45-18:15
行为金融 -
Jasmine Room, 2F
主持人: 刘玉珍, 北京大学
投资者在倾听周围人的声音吗？——中国金融市场中的“同群效应”研究
贺裴菲, 清华大学经济管理学院 刘淳, 清华大学经济管理学院 廖理, 清华大学五道口金融学院 投资者情绪、投机性偏好与IPO之谜 俞红海, 南京大学 李心丹, 南京大学 耿子扬, 康奈尔大学 卖空约束、外推性偏差与过度自信 刘波, 电子科技大学 投资者情绪、贷款规模与信贷配置效率 刘志远, 南开大学 黄宏斌, 天津财经大学 Discussants: 刘琦, 北京大学 刘淳, 清华大学经济管理学院 史永东, 东北财经大学 唐涯, 北京大学 Thursday, July 11, 2013
16:45-18:15
Security Issuance and Repurchase -
Lily Room, 2F
Session Chair: Laura Xiaolei Liu, Hong Kong University of Science & Technology
The Real Effects of Share Repurchases
Heitor Almeida, University of Illinois Vyacheslav Fos, University of Illinois at Urbana-Champaign Mathias Kronlund, University of Illinois Does Political Capital Create Value in the IPO Market? Evidence from China Qigui Liu, University of Wollongong Jinghua Tang, University of Wollongong Gary Tian, University of Wollongong Shares Pledged and Corporate Repurchase Konan Chan, National Chengchi University Hung-Kun Chen, Tanmkang University Shing-yang Hu, National Taiwan University Yu-Jane Liu, Peking University Good Apples, Bad Apples: Sorting Among Chinese Companies Traded in the U.S. James Ang, Florida State University Zhiqian Jiang, Xiamen University Chaopeng Wu, Xiamen University Discussants: Azizjon Alimov, City University of Hong Kong Zhen Wang, Shanghai University of Finance and Economics Sheng Huang, Singapore Management University Zhan Jiang, Shanghai Advanced Institute of Finance, SJTU Thursday, July 11, 2013
16:45-18:15
Governance, Trading, and Manipulation -
Beijing Room, 2F
Session Chair: Joseph S. Chen, University of California, Davis
Governance Through Trading: Does institutional trading discipline empire building and earnings management?
Eric Chang, University of Hong Kong Tse-Chun Lin, University of Hong Kong Xiaorong Ma, University of Hong Kong The Invisible Hand of Short Selling: Does Short Selling Discipline Earnings Manipulation? Massimo Massa, INSEAD Bohui Zhang, University of New South Wales Hong Zhang, INSEAD and Cheung Kong Graduate School of Business Institutional Discipline of Insider Trading through Shareholder Litigation C.S. Agnes Cheng, Hong Kong Polytechnic University Henry He Huang, Yeshiva University Yinghua Li, City University of New York Executive Compensation Incentives Contingent on Long-term Accounting Performance Zhi Li, Tulane University Lingling Wang, Tulane University Discussants: Feng Zhang, University of Utah Egor Matveyev, University of Alberta Jun Huang, Shanghai University of Finance and Economics Hyunseob Kim, Cornell University Thursday, July 11, 2013
19:00–21:00
Conference Dinner & Best Paper Awards -
Grand Ballroom ABC, 2F
Friday, July 12, 2013
8:30-10:00
公司治理及高管薪酬 -
Lily Room, 2F
主持人: 李善民, 中山大学
虚假陈述与独立董事的监管处罚及其后果
辛清泉, 重庆大学 黄曼丽, 岭南大学 易浩然, 岭南大学 增加管理层薪酬能提高股价信息含量吗？ 肖浩, 复旦大学 孔爱国, 复旦大学 公司治理结构与信息披露质量——基于股权分置改革的自然实验证据 周开国, 中山大学 高玮玮, 中山大学 家族企业独立董事的声誉与盈余质量——审计委员会的角色 吕长江, 复旦大学 黄海杰, 复旦大学 Discussants: 肖浩, 复旦大学 周开国, 中山大学 吕长江, 复旦大学 辛清泉, 重庆大学 Friday, July 12, 2013
8:30-10:00
Banking and Financial Institutions -
Tianjin Room, 2F
Session Chair: John Boyd, University of Minnesota
Performance Pricing versus Financial Covenants: Agency Costs and Incentive Alignment
Jian Cai, Fordham University Julian A. Mattes, University of Frankfurt Sascha Steffen, ESMT European School of Management and Technology What Do Bankers Know? Renee Adams, University of New South Wales, FIRN and ECGI Yanhui WU, Queensland University Technology Qiaoqiao Zhu, Australian National University The Monitoring Incentive of Transactional and Relationship Lenders:Evidence from the Syndicated Loan Market Anthony Saunders, New York University Pei Shao, University of Lethbridge Yutao Li, University of Lethbridge Unsecured Credit Supply over the Credit Cycle: Evidence from Credit Card Mailings Song Han, Federal Reserve Board Benjamin J. Keys, University of Chicago Geng Li, Federal Reserve Board Discussants: Yifei Mao, Indiana University Frank Yu, University of Minnesota Renee Adams, University of New South Wales, FIRN and ECGI Xiaoyun Yu, Indiana University and China Academy of Financial Research Friday, July 12, 2013
8:30-10:00
Behavior in Investments -
Magnolia Room, 2F
Session Chair: Kelly Shue, University of Chicago
Looking for Someone to Blame: Delegation, Cognitive Dissonance and the Disposition Effect
Tom Chang, University of Southern California David Solomon, University of Southern California Mark M. Westerfield, University of Washington Exchange-Traded Funds and Equity Return Correlations Zhi Da, University of Notre Dame Sophie Shive, University of Notre Dame Performance-Chasing Behavior and Mutual Funds: New Evidence from Multi-Fund Managers Darwin Choi, Hong Kong University of Science & Technology C. Bige Kahraman, SIFR and Stockholm School of Economics Abhiroop Mukherjee, Hong Kong University of Science & Technology Labor Market Experiences and Portfolio Choice: Evidence from the Finnish Great Depression Samuli Knupfer, London Business School Elias Rantapuska, Aalto University Matti Sarvimaki, Aalto University,HECER and VATT Discussants: Lisa Kramer, University of Toronto David Solomon, University of Southern California Mitch Warachka, Claremont McKenna College Hyunseob Kim, Cornell University Friday, July 12, 2013
8:30-10:00
Theoretical Asset Pricing -
Shanghai Room, 2F
Session Chair: Tan Wang, University of British Columbia and Shanghai Advanced Institute of Finance, SJTU
Asset Pricing with Regime-dependent Preferences and learning
Tony Berrada, University of Geneva Jerome Detemple, Boston University Marcel Rindisbacher, Boston University Asset Pricing under Portfolio Delegation and Differential Information Navneet Arora, Citadel Nengjiu Ju, Hong Kong University of Science & Technology and Shanghai Advanced Institute of Finance, SJTU Hui OU-YANG, Cheung Graduate School of Business Correlations Paul Ehling, BI, Norwegian Business School Christian Heyerdahl-Larsen, London Business School Production-Based Term Structure of Equity Returns Hengjie Ai, University of Minnesota Mariano Croce, University of North Carolina at Chapel Hill Anthony Diercks, University of North Carolina Kai Li, Duke University Discussants: Liyan Yang, University of Toronto Jianjun Miao, Boston University Thomas Maurer, Washington University in St. Louis Nan Li, National University of Singapore Friday, July 12, 2013
8:30-10:00
Power, Connections, and Social Responsibility -
Beijing Room, 2F
Session Chair: Rajesh Aggarwal, University of Minnesota
Can Socially Responsible Firms Survive Competition? An Analysis of Corporate Employee Matching Grants
Ning Gong, University of Melbourne Bruce Grundy, University of Melbourne CEO Power and Decision-Making under Pressure Vikram Nanda, Georgia Institute of Technology Sabatino Silveri, State University of New York - Binghamton Seonghee Han, State University of New York - Binghamton Revolving Doors on Wall Street Jess Cornaggia, Indiana University Kimberly Cornaggia, Indiana University Han Xia, University of Texas at Dallas Managerial Accommodation, Proxy Access, and the Cost of Shareholder Empowerment John Matsusaka, University of Southern California Oguzhan Ozbas, University of Southern California Discussants: Ming Yang, Duke University Alminas Zaldokas, Hong Kong University of Science & Technology Thomas Moeller, Texas Christian University Shan Zhao, Grenoble Ecole de Management Friday, July 12, 2013
8:30-10:00
Owners, Mangers, and Labor in Corporate Governance -
Jasmine Room, 2F
Session Chair: Joseph Fan, Chinese University of Hong Kong
Vertical Interlocks of Executives and Performance of Affiliated Firms in State Owned Chinese Business Groups
Jakob Arnoldi, Aarhus University Xin Chen, Shanghai Jiaotong University Chaohong Na, Yunnan University of Finance and Economics Bank Connection, Corruption and Collateral in China Xiaofei Pan, University of Wollongong Gary Tian, University of Wollongong Are Managers Allied with Shareholders in the Treatment of Employees? Evidence from China Ninghua Zhong, Hong Kong University of Science & Technology Labor Representation in Governance as an Insurance Mechanism E. Han Kim, University of Michigan Ernst Maug, University of Mannheim Christoph Schneider, University of Mannheim Discussants: Gary Tian, University of Wollongong Meng Rui, China Europe International Business School Christoph Schneider, University of Mannheim Garry Twite, University of Texas at Austin Friday, July 12, 2013
10:30-12:00
Behavioral Asset Pricing -
Magnolia Room, 2F
Session Chair: Bing Han, University of Toronto and China Academy of Financial Research
Linguistic Diversity and Stock Trading Volume
Harrison Hong, Princeton University and NBER Yen-Cheng Chang, Shanghai Advanced Institute of Finance, SJTU Larissa Tiedens, Stanford University Bin Zhao, Shanghai Advanced Institute of Finance, SJTU Word-of-mouth Communication, Observational learning, and Stock Market Participation Yu-Jane Liu, Peking University Juanjuan Meng, Peking University Wei You, University California, San Diego Longkai Zhao, Peking University No News is News: Do Markets Underreact to Nothing? Stefano Giglio, University of Chicago and NBER Kelly Shue, University of Chicago Smooth Trading with Overconfidence and Market Power Albert Kyle, University of Maryland Anna Obizhaeva, University of Maryland Yajun Wang, University of Maryland Discussants: Pengjie Gao, University of Notre Dame Lisa Kramer, University of Toronto George Gao, Cornell University Bin Wei, Federal Reserve Board Friday, July 12, 2013
10:30-12:00
Predictability of Asset Returns -
Tianjin Room, 2F
Session Chair: Long Chen, Cheng Kong Graduate School of Business
Seasonality in Predictive Regressions
Shu Yan, University of South Carolina The Driving Force for Stock Market Skewness: A Systematic Downside Risk Approach to Forecast Market Movements Eric Jondeau, Swiss Finance Institute & University of Lausanne Qunzi Zhang, Swiss Finance Institute & University of Lausanne Demand for Crash Insurance and Stock Returns Hui Chen, Massachusetts Institute of Technologyn and NBER Scott Joslin, University of Southern California Sophie Ni, Hong Kong University of Science & Technology Market Volatility and Momentum Kevin Wang, University of Toronto Jianguo Xu, Beijing University Discussants: Zhi Da, University of Notre Dame Yuhang Xing, Rice University and China Academy of Financial Research Haitao Li, University of Michigan and Cheung Kong Graduate School of Business Harrison Hong, Princeton University and NBER Friday, July 12, 2013
10:30-12:00
Volatility of Stock Prices -
Shanghai Room, 2F
Session Chair: Yexiao Xu, University of Texas at Dallas
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
Robert Stambaugh, University of Pennsylvania and NBER Jianfeng Yu, University of Minnesota Yu Yuan, Shanghai Advanced Institute of Finance, SJTU and WFIC What Makes the VIX tick? Warren Bailey, Cornell University Lin Zheng, City College of New York Yinggang Zhou, Chinese University of Hong Kong The Volatility of Firm`s Assets and The Leverage Effect Jaewon Choi, University of Illinois Matthew Richardson, New York University and NBER Jump-Diffusion Long-Run Risks Models, Variance Risk Premium, and Volatility Dynamics Jianjian Jin, Bank of Canada Discussants: Zhe Zhang, Singapore Management University ZhongZhi Song, Cheung Kong Graduate School of Business Qiang Kang, Florida International University Harold Zhang, University of Texas at Dallas and China Academy of Financial Research Friday, July 12, 2013
10:30-12:00
货币与宏观经济政策 -
Jasmine Room, 2F
主持人: 戴国强, 上海财经大学
中国在价格国际传递链中的“输出性”与“输入性”研究
杨子晖, 中山大学 赵永亮, 暨南大学 田磊, 中山大学 人口结构与利率行为：国际经验与我国长期趋势分析 陈国进, 厦门大学 李威, 厦门大学 货币政策传导的企业资产负债表效应研究（2007—2012）——基于中国数据的实证检验 朱新蓉, 中南财经政法大学 李虹含, 中南财经政法大学 国际货币体系改革进程中两岸四地货币合作的可行性研究——基于OCA指数的实证分析 李雪莲, 西南财经大学 王锦阳, 西南财经大学 邓翔, 四川大学 Discussants: 侯克强, 上海财经大学 韩立岩, 北京航空航天大学 陈利平, 上海财经大学 金洪飞, 上海财经大学 Friday, July 12, 2013
10:30-12:00
The Career of a Director -
Beijing Room, 2F
Session Chair: Renee Adams, University of New South Wales, FIRN and ECGI
Matching Directors with Firms: Evidence from Board Structure Following Corporate Spinoffs
David Denis, University of Pittsburgh Diane Denis, University of Pittsburgh Mark Walker, North Carolina State University Reputation Concerns of Independent Directors: Evidence from Individual Director Voting Wei Jiang, Columbia University Hualin Wan, Shanghai Lixin University of Commerce Shan Zhao, Grenoble Ecole de Management How Do Firms and Directors Choose Each Other? Evidence from a Two-sided Matching Model of the Director Labor Market Egor Matveyev, University of Alberta Sugar and Spice and Everything Nice: What Are Good Directors Made of? Quoc-Anh Do, Singapore Management University Bang Dang Nguyen, University of Cambridge P.Raghavendra Rau, University of Cambridge Discussants: David Reeb, National University of Singapore and Temple University Le Zhang, University of New South Wales Alminas Zaldokas, Hong Kong University of Science & Technology Tracy Wang, University of Minnesota Friday, July 12, 2013
10:30-12:00
The Economics of External Financing -
Lily Room, 2F
Session Chair: Xiaoyun Yu, Indiana University and China Academy of Financial Research
Asymmetric Information and the Pecking (Dis)order
Paolo Fulghieri, University of North Carolina at Chapel Hill Diego Garcia, University of North Carolina at Chapel Hill Dirk Hackbarth, University of Illinois at Urbana-Champaign Human Capital Loss in Corporate Bankruptcy John Graham, Duke University and NBER Hyunseob Kim, Cornell University Si Li, PBC School of Finance, Tsinghua University Jiaping Qiu, McMaster University The Family Firm Puzzle Ronald Anderson, Temple University Nan Li, National University of Singapore David Reeb, National University of Singapore Legal Enforcement and Debt Maturity Structure: Evidence from a Natural Experiment Radhakrishnan Gopalan, Washington University in St. Louis Abhiroop Mukherjee, Hong Kong University of Science & Technology Manpreet Singh, Hong Kong University of Science & Technology Discussants: Rajesh Aggarwal, University of Minnesota Pab Jotikasthira, University of North Carolina Chapel Hill Frank Yu, China Europe International Business School Yifei Mao, Indiana University Friday, July 12, 2013
12:15–13:30
Conference Lunch -
Sui Yuan, 2F
Friday, July 12, 2013
13:30–14:30
Special Workshop
Friday, July 12, 2013
14:00-15:30
Asset Pricing and Corporate Policy -
Lily Room, 2F
Session Chair: Jianjun Miao, Boston University
Stochastic Idiosyncratic Operating Risk and Real Options: Implications for Stock Returns
Harjoat Bhamra, University of British Columbia Kyung Shim, University of New South Wales Can Investment Shocks Explain the Cross-section of Stock Returns? Lorenzo Garlappi, University of British Columbia ZhongZhi Song, Cheung Kong Graduate School of Business Stock Return, Dividend Growth Predictability --- The Role of Volatility Factors Tim Bollerslev, Duke University,NBER and CREATES Lai Xu, Duke University Hao Zhou, PBC School of Finance, Tsinghua University R&D Spillover and Predictable Returns Yi Jiang, California State University, Fullerton Yiming Qian, University of Iowa Tong Yao, University of Iowa Discussants: Lai Xu, Duke University Tan Wang, University of British Columbia and Shanghai Advanced Institute of Finance, SJTU Kyung Shim, University of New South Wales Laura Xiaolei Liu, Hong Kong University of Science & Technology Friday, July 12, 2013
14:00-15:30
Monetary Policy and Interest Rate -
Jasmine Room, 2F
Session Chair: Haitao Li, University of Michigan and Cheung Kong Graduate School of Business
Monetary Policy and Bank Lending in China—Evidence from loan level data
Dong He, Hong Kong Monetary Authority Honglin Wang, Hong Kong Monetary Authority Monetary Policy in a DSGE Model with "Chinese Characteristics'' Chun Chang, Shanghai Advanced Institute of Finance, SJTU Zheng Liu, Federal Reserve Bank of San Francisco and Shanghai Advanced Institute of Finance, SJTU Mark Spiegel, Federal Reserve Bank of San Francisco Preferred-habitat and Demand Factors in the Term Structure: Evidence from the Chinese Bond Market Longzhen Fan, Fudan University Canlin Li, Federal Reserve Board Guofu Zhou, Washington University in St. Louis and China Academy of Financial Research Understanding Informal Financing Franklin Allen, University of Pennsylvania Meijun Qian, National University of Singapore and WFIC Jing Xie, National University of Singapore Discussants: Weina Zhang, National University of Singapore Canlin Li, Federal Reserve Board Jun Liu, Shanghai Advanced Institute of Finance, SJTU and University of California, San Diego Hong Zhang, INSEAD and Cheung Kong Graduate School of Business Friday, July 12, 2013
14:00-15:30
发展金融 -
Beijing Room, 2F
主持人: 阎学民, 密苏里大学哥伦比亚分校
农村金融发展缓解了农村居民内部收入差距吗？——基于中国省际数据的面板门槛回归模型分析
张兵, 南京农业大学 刘丹, 南京农业大学 资本账户开放与宏观经济波动 熊衍飞, 中山大学 陆军, 中山大学 陈郑, 中山大学 金融可得性、金融市场参与和家庭资产选择 尹志超, 西南财经大学 吴雨, 西南财经大学 FDI、出口对中国省级经济增长的影响：基于空间面板模型分析 沈国兵, 复旦大学 张鑫, 复旦大学 Discussants: 尹志超, 西南财经大学 张鑫 复旦大学 刘丹, 南京农业大学 熊衍飞, 中山大学 Friday, July 12, 2013
14:00-15:30
Hedge Funds -
Tianjin Room, 2F
Session Chair: Veronika Pool, Indiana University
The Role of Hedge Funds in the Security Price Formation Process
Charles Cao, Penn State University & PBC School of Finance, Tsinghua University Yong Chen, Texas A&M University William Goetzmann, Yale University Bing Liang, University of Massachusetts at Amherst and China Academy of Financial Research Home Bias and Local Contagion: Evidence from Funds of Hedge Funds Clemens Sialm, University of Texas at Austin and NBER Zheng Sun, Uniersity of California, Irvine Lu Zheng, University of California, Irvine and China Academy of Financial Research The Economics of Hedge Funds Yingcong Lan, Cornerstone Research Neng Wang, Columbia University and Shanghai University of Finance and Economics Jinqiang Yang, Columbia University and Shanghai University of Finance and Economics Do Hedge Funds Exploit Rare Disaster Concerns? George Gao, Cornell University Pengjie Gao, University of Notre Dame Zhaogang Song, Board of Governors of the Federal Reserve System Discussants: George Gao, Cornell University Pedro Matos, University of Virginia Youchang Wu, University of Wisconsin - Madison Veronika Pool, Indiana University Friday, July 12, 2013
14:00-15:30
Mergers and Acquisitions II -
Shanghai Room, 2F
Session Chair: Hengjie Ai, University of Minnesota
Learning about Target Firms and Pricing of Acquisitions
Jan Jindra, Ohio State University Thomas Moeller, Texas Christian University Unrelated Acquisitions Rajesh Aggarwal, University of Minnesota Mufaddal Baxamusa, University of St Thomas, Minnesota Does the Dearth of Mergers Mean More Competition? Dirk Hackbarth, University of Illinois at Urbana-Champaign Bart Taub, Durham University Corporate Ownership and International Mergers and Acquisitions Jan Bena, University of British Columbia Kai Li, University of British Columbia and China Academy of Financial Research Discussants: Oguzhan Ozbas, University of Southern California Feng Zhang, University of Utah Hengjie Ai, University of Minnesota Nandini Gupta, Indiana University Friday, July 12, 2013
14:00-15:30
Behavioral Finance: Corporate Finance and Governance -
Magnolia Room, 2F
Session Chair: Gilles Hilary, INSEAD
Do Institutions Influence Corporate Behavior? An Analysis of Corporate Social Responsibility
Chuan Yang Hwang, Nanyang Technological University Sheridan Titman, University of Texas at Austin and China Academy of Financial Research Ying Wang, Nanyang Technological University Firm Heterogeneity and Investor Inattention to Friday Earnings Announcements Roni Michaely, Cornell University and IDC Amir Rubin, Simon Fraser University and IDC Alexander Vedrashko, Simon Fraser University When Firms Talk, Do Investors Listen? The Role of Trust in Stock Market Reactions to Corporate Earnings Announcements Mikhail Pevzner, George Mason University Fei Xie, Clemson University Xiangang Xin, City University of Hong Kong Shaped by Booms and Busts: How the Economy Impacts CEO Careers and Management Styles Antoinette Schoar, Massachusetts Institute of Technology, NBER and ideas42 Luo Zuo, Massachusetts Institute of Technology Discussants: Bang Dang Nguyen, University of Cambridge Lei Sun, Shanghai University of Finance and Economics Charles Hsu, Hong Kong University of Science & Technology Kasper Meisner Nielsen, Hong Kong University of Science & Technology Friday, July 12, 2013
16:00-17:30
Fixed Income Securities -
Tianjin Room, 2F
Session Chair: Jingzhi Huang, Penn State University
Flights to Safety
Lieven Baele, Tilburg University Geert Bekaert, Columbia University and NBER Koen Inghelbrecht, Ghent University and University College Ghent Min Wei, Federal Reserve Board of Governors Interest Rate Volatility and No-Arbitrage Term Structure Models Scott Joslin, University of Southern California Anh Le, University of North Carolina at Chapel-Hill Stock Market Illiquidity, Funding Liquidity, and Bond Risk Premia Kees Bouwman, Erasmus University Rotterdam Elvira Sojli, Erasmus University and Duisenberg school of finance Wing Wah Tham, Erasmus University and Tinbergen Institute In Search of Habitat Xuanjuan Chen, Shanghai University of Finance and Economics Zhenzhen Sun, Siena College Tong Yao, University of Iowa Tong Yu, University of Rhode Island Discussants: Neil Pearson, University of Illinois at Urbana-Champai Robert Kimmel, National University of Singapore Jun Tu, Singapore Management University Paul Ehling, BI, Norwegian Business School Friday, July 12, 2013
16:00-17:30
Systemic Risk -
Shanghai Room, 2F
Session Chair: Zhenyu Wang, Indiana University and China Academy of Financial Research
A Theory of Creditor Rights, Information Sharing, and Bank Risk Taking
John Boyd, University of Minnesota Hendrik Hakenes, University of Bonn and MPI Bonn Strategic Risk Taking with Systemic Externalities Andrea M. Buffa, Boston University On Bank Credit Risk: Systemic or Bank-Specific? Evidence from the US and the UK Junye Li, ESSEC Business School Gabriele Zinna, Bank of England The Fragility of Short-Term Secured Funding Markets Antoine Martin, Federal Reserve Bank of New York David Skeie, Federal Reserve Bank of New York Ernst-Ludwig von Thadden, Universität Mannheim Discussants: Ping He, School of Economics and Management, Tsinghua University Weiping Li, Oklahoma State University Jennie Bai, Federal Reserve Bank of New York John Boyd, University of Minnesota Friday, July 12, 2013
16:00-17:30
Analysts and Financial Reporting -
Beijing Room, 2F
Session Chair: K.C. John Wei, Hong Kong University of Science & Technology
What Are Analysts Really Good At?
Ohad Kadan, Washington University in St.Louis Leonardo Madureira, Case Western Reserve University Rong Wang, Singapore Management University Tzachi Zach, Ohio State University Identifying Skilled Mutual Fund Managers by their Ability to Forecast Earnings Hao Jiang, Erasmus University Lu Zheng, University of California, Irvine and China Academy of Financial Research Cultural Proximity and the Processing of Financial Information Qianqian Du, Shanghai Advanced Institute of Finance, SJTU Frank Yu, China Europe International Business School Xiaoyun Yu, Indiana University and China Academy of Financial Research Do Analysts Matter for Governance? Evidence from Natural Experiments Tao Chen, Chinese University of Hong Kong Jarrad Harford, University of Washington Chen Lin, Chinese University of Hong Kong Discussants: Xiaoyun Yu, Indiana University and China Academy of Financial Research Mike Qinghao Mao, Erasmus University Laura Xiaolei Liu, Hong Kong University of Science & Technology Lei Sun, Shanghai University of Finance and Economics Friday, July 12, 2013
16:00-17:30
公司财务 -
Lily Room, 2F
主持人: 蒋殿春, 南开大学
银行关联能缓解产业政策带来的融资约束吗？
祝继高, 对外经济贸易大学 韩非池, 北京大学 陆正飞, 北京大学 关联并购是否会损害企业绩效？——基于DEA-SFA二次相对效益模型的研究 李善民, 中山大学 史欣向, 中山大学 万自强, 中山大学 集团内财务危机公司特性与资源流动之研究 池祥萱, 国立东华大学 栾锦荣, 国立东华大学 张家豪, 国立东华大学 策略性盈余管理、信息动量与解禁减持 李曜, 上海财经大学 张子炜, 深圳证券交易所综合研究所 林志伟, 深圳证券交易所综合研究所 Discussants: 马亚明, 天津财经大学 梁琪, 南开大学 田利辉, 南开大学 杨锐, 博时基金 Friday, July 12, 2013
16:00-17:30
Entrepreneurship, Private Equity and Venture Capital -
Jasmine Room, 2F
Session Chair: David Reeb, National University of Singapore and Temple University
Patent and Innovation-Driven Performance in Venture Capital-Backed IPOs
Jerry Cao, Singapore Management University Fuwei Jiang, Singapore Management University Jay Ritter, University of Florida Foreign VCs and the Internationalization of Entrepreneurial Firms Mark Humphery-Jenner, University of New South Wales Jo-Ann Suchard, University of New South Wales Do Entrepreneurs Make Good VCs? Ye Cai, Santa Clara University Merih Sevilir, Indiana University Xuan Tian, Indiana University Churning in Venture Capital Investments Nishant Dass, Georgia Institute of Technology Hung-Chia Hsu, University of Wisconsin Milwaukee Vikram Nanda, Georgia Institute of Technology Qinghai Wang, Georgia Institute of Technology Discussants: Mark Walker, North Carolina State University Shing-yang Hu, National Taiwan University William Megginson, University of Oklahoma Bang Dang Nguyen, University of Cambridge Friday, July 12, 2013
16:00-17:30
Cost of Capital, Capital Budegting, and Corporate Policies -
Magnolia Room, 2F
Session Chair: Sheridan Titman, University of Texas at Austin and China Academy of Financial Research
Supplier-Customer Relationships and Corporate Hedging Policy
Jun-Koo Kang, Nanyang Technological University Limin Xu, Nanyang Technological University Lei Zhang, Nanyang Technological University Captive Finance and Firm’s Competitiveness Andriy Bodnaruk, University of Notre Dame William O'Brien, Purdue University Andrei Simonov, Michigan State University Can Firms Do Well for Shareholders by Doing Good for Stakeholders? The Importance of Long-Term Investors Ambrus Kecskes, Virginia Tech Sattar Mansi, Virginia Tech Phuong-Anh Nguyen, Virginia Tech Blocks in Multiple Firms Massimo Massa, INSEAD Alminas Zaldokas, Hong Kong University of Science & Technology Discussants: Ruoran Gao, Cornell University Xiaodan Gao, University of British Columbia Andrei Simonov, Michigan State University Qi Sun, University of Southern California Saturday, July 13, 2013
8:30-10:00
Asset Pricing Anomalies -
Tianjin Room, 2F
Session Chair: Guofu Zhou, Washington University in St. Louis and China Academy of Financial Research
Two Accrual Anomalies
Qiang Kang, Florida International University Qiao Liu, Peking University Rong Qi, St.John's University Real-Time Profitability of Published Anomalies: An Out-of-Sample Test Jingzhi Huang, Penn State University Zhijian (James) Huang, University of Wisconsin-Milwaukee Explaining the Value Premium around the World: Risk or Mispricing? Andy C.W. Chui, Hong Kong Polytechnic University K.C. John Wei, Hong Kong University of Science & Technology Feixue Xie, University of Texas at El Paso Time-Series Momentum versus Technical Analysis Ben Marshall, Massey University Nhut Nguyen, University of Auckland Nuttawat Visaltanachoti, Massey University Discussants: Canlin Li, Federal Reserve Board Jun Tu, Singapore Management University Mitch Warachka, Claremont McKenna College Yingzi Zhu, School of Economics and Management, Tsinghua University Saturday, July 13, 2013
8:30-10:00
信息和市场效率 -
Jasmine Room, 2F
主持人: 冯芸, 上海交通大学
证券执法加强了分析师的监督治理作用吗？
周铭山, 西南财经大学 林靓, 西南财经大学 许年行, 中国人民大学 黄伟, 西南财经大学 审计意见、信息环境与股票流动性 林志伟, 深圳证券交易所 张子炜, 深圳证券交易所 李曜, 上海财经大学 内幕交易与股票流动性的改善 凌玲, 复旦大学 方军雄, 复旦大学 媒体荐股信息、市场反应与财富流动 李志生, 中南财经政法大学 廖理, 清华大学五道口金融学院 孔东明, 华中科技大学 刘淳, 清华大学经济管理学院 Discussants: 凌玲, 复旦大学 周铭山, 西南财经大学 李志生, 中南财经政法大学 林志伟, 深圳证券交易所 Saturday, July 13, 2013
8:30-10:00
Financial Frictions and Corporate Investment -
Lily Room, 2F
Session Chair: Oguzhan Ozbas, University of Southern California
Credit Supply and Corporate Innovation
Mario Amore, Bocconi University Cedríc Schneider, Copenhagen Business School Alminas Zaldokas, Hong Kong University of Science & Technology Corporate Investment and the Option to Repurchase Debt Brandon Julio, London Business School Flow-Induced Mispricing and Corporate Investment Xiaoxia Lou, University of Delaware Yan Wang, Chinese University of Hong Kong Investor Protection, Diversification, Investment, and Tobin's q Yingcong Lan, Cornerstone Research Neng Wang, Columbia University and Shanghai University of Finance and Economics Jinqiang Yang, Columbia University and Shanghai University of Finance and Economics Discussants: Kelly Shue, University of Chicago Sheng Huang, Singapore Management University Luis Goncalves-Pinto, National University of Singapore Nengjiu Ju, Hong Kong University of Science & Technology and Shanghai Advanced Institute of Finance, SJTU Saturday, July 13, 2013
8:30-10:00
Credit Risk -
Shanghai Room, 2F
Session Chair: Ning Zhu, Shanghai Advanced Institute of Finance, SJTU and University of California, Davis
On Bounding Credit Event Risk Premia
Jennie Bai, Federal Reserve Bank of New York Pierre Collin-Dufresne, Columbia University and NBER Robert Goldstein, University of Minnesota and NBER Jean Helwege, University of South Carolina Credit Derivatives and Earnings Announcements George Batta, Claremont McKenna College Jiaping Qiu, McMaster University Fan Yu, Claremont McKenna College and Shanghai Advanced Institute of Finance, SJTU Credit Default Swaps, Strategic Default, and the Cost of Corporate Debt Gi Kim, University of Warwick Background Risk and Insurers’ Risk-taking Behavior in the Corporate Bond Market Xuanjuan Chen, Shanghai University of Finance and Economics Zhenzhen Sun, Siena College Tong Yao, University of Iowa Tong Yu, University of Rhode Island Discussants: Fan Yu, Claremont McKenna College and Shanghai Advanced Institute of Finance, SJTU Yongjun Tang, University of Hong Kong Hong Yan, Shanghai Advanced Institute of Finance, SJTU & University of South Carolina Yaxuan Qi, City University of Hong Kong Saturday, July 13, 2013
8:30-10:00
Incentives and Contracts -
Beijing Room, 2F
Session Chair: Bin Wei, Federal Reserve Board
Tug-of-War: Incentive Alignment in Securitization and Loan Performance
Zhonglan Dai, University of Texas at Dallas Harold Zhang, University of Texas at Dallas and China Academy of Financial Research Feng Zhao, University of Texas at Dallas Selecting CEO in Family Firms:The Role of Families’ Human and Social Capital Joseph Fan, Chinese University of Hong Kong Sifei Li, Beijing Foreign Studies University Robust Contracts in Continuous Time Jianjun Miao, Boston University Alejandro Rivera, Boston University Myopic Agency John Zhu, University of Pennsylvania Discussants: Haoxiang Zhu, Massachusetts Institute of Technology Chaopeng Wu, Xiamen University John Zhu, University of Pennsylvania Jianjun Miao, Boston University Saturday, July 13, 2013
8:30-10:00
Chinese Financial Markets -
Magnolia Room, 2F
Session Chair: Charles Cao, Penn State University & PBC School of Finance, Tsinghua University
Mutual Fund Ownership, Firm Specific Information, and Firm Performance: Evidence from China
Wenhua Sharpe, Deakin University Gary Tian, University of Wollongong Hong Feng Zhang, Deakin University Are Investors Irrational? A Study of the Chinese Warrant Market Yintian Wang, School of Economics and Management, Tsinghua University Yingzi Zhu, School of Economics and Management, Tsinghua University Short-selling, Margin-trading and Price Efficiency: Evidence from the Chinese Market Eric Chang, University of Hong Kong Yan Luo, Fudan University Jinjuan Ren, University of Macau The Investment Decisions of Foreign and Local Investors in Private Equity Funds in China Sarah Azzi, University of New South Wales Jo-Ann Suchard, University of New South Wales Discussants: Jianing Zhang, Shanghai University of Finance and Economics Li Gang, Hong Kong Polytechnic University Yingzi Zhu, School of Economics and Management, Tsinghua University Xueyong Zhang, Centural University of Finance and Economics Saturday, July 13, 2013
10:30-12:00
Financial Bubbles and Crisis -
Tianjin Room, 2F
Session Chair: Zhiguo He, University of Chicago
Political Influence and Incentive: The Lending Behavior of a State-owned Bank in the Global Financial Crisis
Chun-Yu Ho, Shanghai Jiaotong University Dan Li, Fudan University Suhua Tian, Fudan University Fire-sales and Information Advantage: When Bank-Affiliation Helps Lei Zhang, Nanyang Technological University Massimo Massa, INSEAD Hedging Costs vs. Counterparty Risk: What Explains the Pricing of Structured Products During the 2007-2009 Financial Crisis? Stefan Petry, University of Melbourne "Fool Me Once..." U.S. Investors' Responses to the European Debt Crisis Carol C. Bertaut, Federal Reserve Board Fang Cai, Federal Reserve Board Nyssa Kim, Federal Reserve Board Discussants: Yunling Chen, School of Economics and Management, Tsinghua University Jiaren Pang, School of Economics and Management, Tsinghua University Weina Zhang, National University of Singapore Hong Zhang, INSEAD and Cheung Kong Graduate School of Business Saturday, July 13, 2013
10:30-12:00
金融衍生品及风险管理 -
Lily Room, 2F
主持人: 吴冲锋, 上海交通大学
美国期货跳跃风险对中国期货的影响及投资价值研究——基于同步交易和异步交易的经验证据
刘庆富, 复旦大学 张金清, 复旦大学 净购买压力的信息含量: 台指期权市场的证据 郑振龙, 厦门大学 吕恺, 中国金融期货交易所 林苍祥, 台湾淡江大学和浙江大学民营经济研究中心 带杠杆效应的条件无穷纯跳跃Levy过程期权定价 吴恒煜, 西南财经大学 朱福敏, 西南财经大学 温金明, 麦吉尔大学 基于广义谱和MCS检验的VaR模型预测绩效评估 张玉鹏, 华东师范大学 洪永淼, 康奈尔大学和厦门大学王亚南经济研究院 Discussants: 刘莉亚, 上海财经大学 冯芸, 上海交通大学 刘海龙, 上海交通大学 覃晓, 上海交通大学 Saturday, July 13, 2013
10:30-12:00
CEOs, Executive Pay and Turnovers -
Jasmine Room, 2F
Session Chair: Pedro Matos, University of Virginia
Industry Tournament Incentives
Jeff Coles, Arizona State University Zhichuan Li, Arizona State University Albert Wang, Chinese University of Hong Kong CEO Investment Cycles Yihui Pan, University of Utah Tracy Wang, University of Minnesota Michael Weisbach, Ohio State University Swinging for the Fences: Executive Reactions to Quasi-Random Option Grants Kelly Shue, University of Chicago Richard Townsend, Dartmouth College Provision of Management Incentives in Bankrupt Firms Vidhan Goyal, Hong Kong University of Science & Technology Wei Wang, Queen's University Discussants: Rik Sen, Hong Kong University of Science & Technology Brandon Julio, London Business School Wei Wang, Queen's University Sheng Huang, Singapore Management University Saturday, July 13, 2013
10:30-12:00
Trading and Information -
Shanghai Room, 2F
Session Chair: Jialin Yu, Hong Kong University of Science & Technology
The Externalities of High-Frequency Trading
Jiading Gai, University of Illinois, Urbana-Champaign Chen Yao, University of Illinois, Urbana-Champaign Mao Ye, University of Illinois, Urbana-Champaign Analysis of Sentiment, Order Type Choice and Returns Matthew C. Chang, Hsuan Chuang University Chih-Ling Tsai , University of California, Davis Chung-Fern Wu , National Taiwan University Ning Zhu, Shanghai Advanced Institute of Finance, SJTU and University of California, Davis Ex Post Equilibria in Double Auctions of Divisible Assets Songzi Du, Simon Fraser University Haoxiang Zhu, Massachusetts Institute of Technology Pre-Trade Transparency and Informed Trading: An Experimental Approach to Hidden Liquidity Arie Gozluklu, University of Warwick Discussants: Pengjie Gao, University of Notre Dame Peilin Hsieh, Cornell University Yajun Wang, University of Maryland Mark Wu, State University of New York- Binghamton Saturday, July 13, 2013
10:30-12:00
Detecting Financial Distress -
Magnolia Room, 2F
Session Chair: Harold Zhang, University of Texas at Dallas and China Academy of Financial Research
Rating Shopping or Catering? An Examination of the Response to Competitive Pressure for CDO Credit Ratings
John M. Griffin, University of Texas at Austin Jordan Nickerson, University of Texas at Austin Yongjun Tang, University of Hong Kong Reading Between the Ratings: Modeling Residual Credit Risk and Yield Overlap Charles Chang, Shanghai Advanced Institute of Finance, SJTU Cheng-Der Fuh, National Central University Michael Kao, National Central University A Macro Stress Test Model of the Default Risk of Canadian Banking Sector Fuchun Li, Bank of Canada Enhanced Stress Testing and Financial Stability Matthew Pritsker, Federal Reserve Bank of Boston Discussants: Han Xia, University of Texas at Dallas Yongjun Tang, University of Hong Kong Matthew Pritsker, Federal Reserve Bank of Boston Fuchun Li, Bank of Canada Saturday, July 13, 2013
10:30-12:00
Political Economy of Finance -
Beijing Room, 2F
Session Chair: Zhongzhi He, Shanghai University of Finance and Economics and Brock Univesity
The Impact of Fiscal Policy on Stock Returns
Zhi Da, University of Notre Dame Mitch Warachka, Claremont McKenna College Hayong Yun, University of Notre Dame The Political Economy of Corporate Finance: Evidence from China's Re-nationalization Zhangkai Huang, School of Economics and Management, Tsinghua University Pre-IPO Private Equity Investors and Their Impact on the IPO Process under China's Compliance System Yao Li, Shanghai University of Finance and Economics Laura Xiaolei Liu, Hong Kong University of Science & Technology Ziwei Zhang, Shanghai University of Finance and Economics When Talk Isn’t Cheap: The Corporate Value of Political Rhetoric Art Durnev, University of Iowa Larry Fauver, University of Tennessee Nandini Gupta, Indiana University Discussants: Shu Yan, University of South Carolina Bin Zhao, Shanghai Advanced Institute of Finance, SJTU Gary Tian, University of Wollongong MoqiMark Kamstra, York University Saturday, July 13, 2013
12:15 – 13:30
Conference Lunch -
Sui Yuan, 2F
Saturday, July 13, 2013
14:00-15:30
Market Microstructure -
Jasmine Room, 2F
Session Chair: Mao Ye, University of Illinois, Urbana-Champaign
Risk sharing, Costly Participation and Monthly Returns
Terrence Hendershott, University of California Berkeley Sunny Li, VU University Amsterdam Albert Menkveld, VU University Amsterdam Mark Seasholes, Hong Kong University of Science & Technology Insider Trading, Stochastic Liquidity and Equilibrium Prices Pierre Collin-Dufresne, Columbia University and NBER Vyacheslav Fos, University of Illinois at Urbana-Champaign Short-sale Constraints, Bid-Ask Spreads, and Information Acquisition Hong Liu, Washington University in St. Louis and China Academy of Financial Research Yajun Wang, University of Maryland Transaction Taxes in a Price Maker/Taker Market Dale Rosenthal, University of Illinois at Chicago Nordia Thomas, University of Wisconsin-La Crosse Hefei Wang, University of Illinois at Chicago Discussants: Elvira Sojli, Erasmus University and Duisenberg school of finance Yajun Wang, University of Maryland Haoxiang Zhu, Massachusetts Institute of Technology Arie Gozluklu, University of Warwick Saturday, July 13, 2013
14:00-15:30
人民币、汇率及国际金融 -
Tianjin Room, 2F
主持人: 孙谦, 复旦大学
信息透明有利于国际资本流动吗？
刘莉亚, 上海财经大学 人民币成为锚货币了吗？——基于状态空间模型的经验证据 阙澄宇, 东北财经大学 马斌, 东北财经大学 境内外人民币汇率价格关系的定量研究 伍戈, 中国人民银行 裴诚, 中国外汇交易中心 人民币拆借利率的沪港市场关联与差异 陈联, 南京理工大学 李银银, 南京理工大学 陈峰, 南京理工大学 陈婷, 南京理工大学 Discussants: 马斌, 东北财经大学 陈婷, 南京理工大学 刘莉亚, 上海财经大学 伍戈, 中国人民银行 Saturday, July 13, 2013
14:00-15:30
资本市场 -
Shanghai Room, 2F
主持人: 杨之曙, 清华大学经济管理学院
中国股票市场IPO询价制度与财富分配效应——兼论询价制度改革的有效性
李心丹, 南京大学 俞红海, 南京大学 耿子扬, 康奈尔大学 李冬昕, 上海证券交易所 中国艺术品投资的收益与特征 石阳, 上海财经大学 李曜, 上海财经大学 不同市场环境下的大额交易与非对称市场冲击 冯建芬, 对外经济贸易大学 王茂斌, 对外经济贸易大学 技术分析与流动性提供者的择时策略：基于中国A股市场的实证研究 李平, 电子科技大学 李文峰, 电子科技大学 曾勇, 电子科技大学 王志刚, 电子科技大学 Discussants: 范龙振, 复旦大学 许年行, 中国人民大学 金洪飞, 上海财经大学 祝继高, 对外经济贸易大学 Saturday, July 13, 2013
14:00-15:30
Understanding Stock Returns -
Magnolia Room, 2F
Session Chair: Wei Yang, Indiana University
Predicting Market Returns Using Aggregate Implied Cost of Capital
Yan Li, Temple University David Ng, Cornell University Bhaskaran Swaminathan, LSV Asset Management Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity Mark Kamstra, York University Lisa Kramer, University of Toronto Maurice Levi, University of British Columbia Tan Wang, University of British Columbia and Shanghai Advanced Institute of Finance, SJTU Is Sentiment Sentimental? Steven E. Sibley, Purdue University Yuhang Xing, Rice University and China Academy of Financial Research Xiaoyan Zhang, Purdue University and China Academy of Financial Research Ambiguity Aversion and Variance Premium Jianjun Miao, Boston University Bin Wei, Federal Reserve Board Hao Zhou, PBC School of Finance, Tsinghua University Discussants: Nan Li, National University of Singapore Erica Li, Cheung Kong Graduate School of Business Egor Matveyev, University of Alberta ZhongZhi Song, Cheung Kong Graduate School of Business Saturday, July 13, 2013
14:00-15:30
Global Financial Risk -
Beijing Room, 2F
Session Chair: Yuhang Xing, Rice University and China Academy of Financial Research
Sovereign Risk and Financial Risk
Simon Gilchrist, Boston University and NBER Vivian Yue, Federal Reserve Board of Governors Egon Zakrajsek, Federal Reserve Board of Governors The Exodus from Sovereign Risk: Sovereign Ceiling Violations in Credit Default Swap Markets Jongsub Lee, University of Florida Andy Naranjo, University of Florida Stace Sirmans, University of Florida Endogenous Banks' Networks, Cascades and Systemic Risk Marcel Bluhm, Xiamen University and CFS Ester Faia, Frankfurt University, CFS and Kiel IfW Jan-Pieter Krahnen, Frankfurt University, CFS, CEPR The Role of Bank Regulation in Systemic Banking Crises: Cross-country Evidence on Bank Risk Taking Frank Song, University of Hong Kong Wensi Xie, University of Hong Kong Discussants: Sara Ferreira Filipe, University of Luxembourg Gi Kim, University of Warwick Matthew Pritsker, Federal Reserve Bank of Boston Fang Cai, Federal Reserve Board Saturday, July 13, 2013
14:00-15:30
Real Estate Finance -
Lily Room, 2F
Session Chair: Xuanjuan Chen, Shanghai University of Finance and Economics
Should We Fear an Adverse Collateral Effect on Investment in China?
Yongheng Deng, National University of Singapore Joseph Gyourko, University of Pennsylvania and NBER Jing Wu, Tsinghua University and Institute of Real Estate Studies, National University of Singapore Complex Mortgages Gene Amromin, Federal Reserve Bank of Chicago Jennifer Huang, Cheung Kong Graduate School of Business Clemens Sialm, University of Texas at Austin and NBER Edward Zhong, University of Wisconsin-Madison When Real Estate is the Only Game in Town: Local Bias and Investments in Second Homes Hyun-Soo Choi, Singapore Management University Harrison Hong, Princeton University and NBER Jeffrey D.Kubik, Syracuse University The Hidden Peril: The Role of the Condominium Loan Market in the Recent Financial Crisis Sumit Agarwal, National University of Singapore Yongheng Deng, National University of Singapore Wenlan Qian, National University of Singapore Chenxi Luo, National University of Singapore Discussants: Laura Xiaolei Liu, Hong Kong University of Science & Technology Jingzhi Huang, Penn State University Song Han, Federal Reserve Board Jay Wang, University of Oregon
Program Chair:
Hong Yan, Shanghai Advanced Institute of Finance, SJTU & University of South Carolina
Program Co-Chairs:
Sudipto Dasgupta, Hong Kong University of Science and Technology Bing Liang, University of Massachusetts at Amherst and China Academy of Financial Research Li Liao, PBC School of Finance, Tsinghua University Neng Wang, Columbia University and Shanghai University of Finance and Economics Zhenyu Wang, Indiana University and China Academy of Financial Research |