28th australasian finance and banking conference 2015...keynote address are us industries becoming...

28th Australasian Finance and Banking Conference 2015

Program

Welcome

On behalf of the School of Banking & Finance and the Institute of Global Finance at UNSW Business School, I would like to extend a warm welcome to all participants of the 28th Australasian Finance and Banking Conference. I would also like to welcome our international guests to the city of Sydney. We would like to thank our conference sponsors: ASX, Bankscope, BlackRock, Bureau van Dijk, CFA, PwC, the Reserve Bank of Australia, Sterling Publishing and Sydney Business Chamber. We trust that the conference will be stimulating and enjoyable, and will provide you with the opportunity to build beneficial academic, social and corporate networks. Thank you for contributing to the continuing success of this annual event.

Fariborz MoshirianConference Convenor

Program – Day 1 Wednesday 16 December 2015

Registration 7:45am – 8:30am

Registration – Upper Grand Ballroom Lobby

Session 1

8:30am – 10:30am

Funds Management I

Financial Institutions I

Boards Financial Stability I Global Finance I The Role of

Stakeholders Asset Pricing I

Chair: Petko Kalev

Cambridge I & II

Chair: Necmi Avkiran

Cambridge III

Chair: Hao Liang

Cambridge IV

Chair: Natalya Zelenyuk Essex I

Chair: Sherry Zhang

Essex II

Chair: Nadia Massoud

Bradfield Lounge

Chair: Giorgio Valente

Harlequin

Morning Tea 10:30am – 11:00am

Morning Tea – Grand Ballroom Lobby

Business Forum 11:00am – 1:00pm

International Business Forum: Global and Regional Financial Stability

Myron Scholes, Stanford University Augusto López-Claros, World Bank

Guy Debelle, Reserve Bank of Australia

Grand Ballroom II

Lunch 1:00pm – 2:00pm

Lunch – Grand Ballroom I

Keynote 2:00pm – 3:00pm

Keynote Address

Cross-Sectional Asset Pricing with Individual Stocks: Betas Versus Characteristics Tarun Chordia, Emory University

Grand Ballroom II

Afternoon Tea 3:00pm – 3:30pm

Afternoon Tea – Grand Ballroom Lobby

Session 2 3:30pm – 5:30pm

Market Microstructure I

Systemic Risk I Financial

Economics I Behavioural

Finance I Behavioural

Finance II Markets and Corporate

Governance Asset Pricing II

Chair: Luis Goncalves-Pinto Cambridge I & II

Chair: Christian Buschmann

Cambridge III

Chair: Qiongbing Wu

Cambridge IV

Chair: Jianfeng Shen

Essex I

Chair: Gennaro Bernile Essex II

Chair: Torsten Jochem

Bradfield Lounge

Chair: Jozef Drienko

Harlequin

Program – Day 2 Thursday 17 December 2015

Session 3 8:30am – 10:30am

Behavioural Corporate Finance

Quantitative Finance

Funds Management II

International Asset Pricing

Financial Economics II

Asset Pricing III Information, Prices & Return Distributions

Chair: Asjeet Lamba

Cambridge I & II

Chair: Li Yang

Cambridge III

Chair: Jan Kruger

Cambridge IV

Chair: Cheng Yan

Essex I

Chair: John Crosby

Essex II

Chair: Muhammad Tahir Suleman

Bradfield Lounge

Chair: Katarzyna Sum

Harlequin



Keynote 11:00am – 12:00pm

Keynote Address

Are US Industries Becoming Less Competitive?

Roni Michaely, Cornell University

Grand Ballroom II


Keynote Address

Launch of World Bank Report – Women, Business and the Law 2016: Getting to Equal Augusto López-Claros, World Bank

Grand Ballroom II




Keynote Address

Recent Developments in Global Banking Stijn Claessens, Board of Governors of the Federal Reserve System

Grand Ballroom II




Emerging Markets Capital Markets I Financial Institutions

& Instruments Financial

Economics III Financial

Institutions II Funds

Management III CEO Incentive and

Monitoring

Chair: Ahmad Raza

Cambridge I & II

Chair: Andriy Shkilko

Cambridge III

Chair: Chu Zhang

Cambridge IV

Chair: Thomas Weber Essex I

Chair: Lee Smales

Essex II

Chair: Konark Saxena

Bradfield Lounge

Chair: Kathleen Kahle

Harlequin

Pre-Dinner Drinks 7:00pm – 7:30pm

Pre-Dinner Drinks – Grand Ballroom Lobby

Dinner 7:30pm

Conference Dinner Keynote Presentation

Global Financial Stability: Some Questions About Macro-Prudential Policies Stijn Claessens, Board of Governors of the Federal Reserve System

Grand Ballroom I & II

Program – Day 3 Friday 18 December 2015

Session 5 8:45am – 10:45am

Capital Markets II International

Finance Systemic Risk II

Financial Mathematics

Financial Institutions III

Market Microstructure II

Asset Pricing IV

Chair: Ah Boon Sim

Cambridge I & II

Chair: Katarzyna Sum

Cambridge III

Chair: Katsutoshi Shimizu

Cambridge IV

Chair: Tomohiro Ando

Essex I

Chair: Vinay Patel

Essex II

Chair: Paul Karehnke

Bradfield Lounge

Chair: Jinji Hao

Harlequin



Keynote 11:15am – 12:15pm

Keynote Address

Heterogenous Taxes and Limited Risk Sharing: Evidence From Municipal Bonds Christian Lundblad, University of North Carolina

Grand Ballroom II




Derivative Instruments

Systemic Risk III Corporate Investment

Entrepreneurial Financing

Funds Management IV

Capital Structure and Payout Policy

Compensation

Chair: Rainer Baule

Cambridge I & II

Chair: Everett Grant

Cambridge III

Chair: Felix Von Meyerinck

Cambridge IV

Chair: Xianming Zhou

Essex I

Chair: Marco Wilkens

Essex II

Chair: Wain Yuen

Bradfield Lounge

Chair: Sanket Mohapatra

Harlequin




Capital Markets III Asset Pricing V Financial Stability II Asset Pricing VI Global Finance II

Chair: Alin Marius Andries

Cambridge I & II

Chair: David Rapach

Cambridge III

Chair: Henk Von Eije

Cambridge IV

Chair: Maggie Rong Hu

Essex I

Chair: Johan Sulaeman

Essex II

Conference Concludes 5:15pm

Hotel Maps – Function Rooms

Upper Grand Ballroom Lobby (above Grand Ballroom Lobby)

- Registration Desk

Plenary Sessions

Level LG

Grand Ballroom II - Keynote Addresses

- Breakout Sessions

Grand Ballroom I

- Lunch

- Conference Dinner

Grand Ballroom Lobby

- Exhibitor Booths

- Morning Tea

- Afternoon Tea

- Pre-Dinner Drinks

Breakout Rooms

Level 1

- Harlequin - Bradfield

Lounge

Level 3

- Cambridge I & II

- Cambridge III

- Cambridge IV

- Essex I

- Essex II

Tarun Chordia

R. Howard Dobbs Professor of Finance

Emory University

Prior to joining Emory University in 2000, Professor Tarun Chordia received his PhD in finance from the Anderson School, UCLA, in 1993. He was an Assistant Professor of Finance at the Owen Graduate School of Management, Vanderbilt University from 1993. Prior to his doctoral studies, he worked for Citibank as a relationship and credit manager in the Financial Institutions Group.

Professor Chordia’s research is grounded in both theory and empirical methods, and spans a diverse area of financial economics. He has received numerous awards for his research on empirical asset pricing and market microstructure. Professor Chordia has published extensively in the top finance journals, such as the Journal of Business, the Journal of Finance, the Journal of Financial Economics, the Journal of Financial Markets, the Journal of Financial and Quantitative Analysis and the Review of Financial Studies. He is currently the managing editor of the Journal of Financial Markets and a past associate editor of the Review of Financial Studies. He has been on the program committee for the American Finance Association, the European Finance Association, the NBER Market Microstructure group, the Stern Microstructure Conference, the Utah Winter Finance Conference and the Western Finance Association meetings, and is a referee for numerous journals.

Topic: Cross-Sectional Asset Pricing with Individual Stocks: Betas Versus Characteristics

Keynote Speakers

Stijn Claessens

Senior Adviser, International Finance Division

Board of Governors of the Federal Reserve System

Stijn Claessens is Senior Adviser in the International Finance Division at the United States Board of Governors of the Federal Reserve System. Prior to this, he was Assistant Director in the Research Department of the International Monetary Fund from 2007-2014. Mr. Claessens holds a PhD in business economics from the Wharton School, University of Pennsylvania, and an MA from Erasmus University, Rotterdam. He began his career teaching at New York University’s business school, then worked for seventeen years at the World Bank in various positions, including as Senior Advisor in the Financial and Private Sector Vice-Presidency. In between, he also taught for three years at the University of Amsterdam, where he remains a Professor of International Finance Policy.

Mr. Claessens’ policy and research interests are in finance, including corporate governance, globalization, and business and financial cycles. Over his career, Mr. Claessens has provided policy advice to numerous countries, including on governments’ external debt strategies and asset-liability management, and corporate and financial sector reform and restructuring. His research has been published in many eminent journals such as the Journal of Financial Economics, the Journal of Finance, the Journal of International Economics, and the Quarterly Journal of Economics, and he has written and edited several books. Mr. Claessens is an associate editor of journals from the IMF, Economic Review and the Journal of Financial Intermediation. His current professional affiliations include Fellow of the Wharton Financial Institutions Center, CEPR fellow, and Member of the Advisory Board of the Yale Financial Stability Program.

Topic: Recent Developments in Global Banking

Augusto López-Claros

Director, Global Indicators Group

World Bank

Augusto López-Claros is the Director of the Global Indicators Group at the World Bank Group, the department responsible for the Bank’s Doing Business report and other international benchmarking studies. Previously he was Chief Economist and Director of the Global Competitiveness Program at the World Economic Forum in Geneva, where he was also the Editor of the Global Competitiveness Report, the Forum’s flagship publication, as well as a number of regional economic reports. Before joining the Forum he worked for several years in the financial sector in London, with a special focus on emerging markets. He was the International Monetary Fund’s Resident Representative in the Russian Federation during the 1990s.

Before joining the IMF, López-Claros was a Professor of Economics at the University of Chile in Santiago. He was educated in England and the United States, receiving a diploma in Mathematical Statistics from Cambridge University and a PhD in Economics from Duke University. He is a much-sought-after international speaker, having lectured in the last several years at some of the world’s leading universities and think tanks. In 2007 he was a coeditor of The International Monetary System, the IMF, G-20: A Great Transformation in the Making? and The Humanitarian Response Index: Measuring Commitment to Best Practice, both published by Palgrave. He was the editor of The Innovation for Development Report 2009–2010: Strengthening Innovation for the Prosperity of Nations, published by Palgrave in November 2009. More recent publications include: “Removing Impediments to Sustainable Economic Development: The Case of Corruption” (2015) and “Fiscal Challenges After the Global Financial Crisis: A Survey of Key Issues” (2014).

Topic: Measuring Regulatory Quality and Efficiency

Christian Lundblad

Edward M. O’Herron Distinguished Scholar and Professor of Finance

University of North Carolina at Chapel Hill

Christian Lundblad is the Edward M. O’Herron Distinguished Scholar and Professor of Finance at the University of North Carolina’s Kenan-Flagler Business School. His research spans asset pricing and international finance, with a specialization in emerging market development. His research has been published in top academic journals such as the Journal of Finance, the Review of Financial Studies, and the Journal of Financial Economics, and he is an Associate Editor for the Journal of Finance.

He served as a financial economist at the Federal Reserve Board in Washington, D.C., where he advised the Board of Governors on international financial market developments.

He is also the recipient of the MBA for Executives Teaching Excellence award.

He received a PhD in financial economics and a master’s degree in economics from Duke University. He earned his BA in economics and English literature with highest honors from Washington University in St. Louis.

Topic: Heterogenous Taxes and Limited Risk Sharing: Evidence From Municipal Bonds

Roni Michaely

Rudd Family Professor of Finance

Cornell Tech and IDC

Professor Michaely’s research interests are in the area of corporate finance, capital markets and valuation. His current research focuses on conflict of interest in the capital markets, corporation payout policy, and the corporate finance decisions of privately held firms, as well as issues related to the IPO process. Michaely has published numerous works (several of which received best-paper awards) in refereed journals such as the Review of Financial Studies, the Journal of Finance, the Journal of Financial Economics, the Journal of Business, and the Journal of Financial and Quantitative Analysis. His research has been also frequently featured in The Wall Street Journal, The New York Times, The Economist, Investor’s Business Daily, The San Francisco Chronicle, BusinessWeek, Forbes, Barrons, Money, Reuters, Worth, and others.

Michaely’s research has received several awards and honours, including the 2005 Journal of Financial Economics award for the best corporate finance paper, the 2000 Journal of Finance Smith Breeden Prize for distinguish paper, the 2000 Western Finance Association Award for the best paper on capital formation, the Review of Financial Studies 1999 Barclays Global Investors/Michael Brennan Runner-up Award, the 1999 Western Finance Association Award for the best paper, the 1996 Quantitative Alliance Group Prize for best paper, and the 1996 Western Finance Association Award for best paper on investments.

Michaely currently serves as an associate editor for the Journal of Finance. He is on the board of several startups including Tipranks, Urbanr, and Pharmpool. He is on the advisory board of Nielsen Innovate and was a director of the Israel Securities Authority (ISA) from 1998 to 2003.

Topic: Are US Industries Becoming Less Competitive?

Myron Scholes

Frank E. Buck Professor of Finance, Emeritus

Stanford University

Myron Scholes is the Frank E. Buck Professor of Finance, Emeritus, called back to active duty at the Stanford Graduate School of Business. He is a Nobel Laureate in Economic Sciences, and co-originator of the Black-Scholes options pricing model. Scholes was awarded the Nobel Prize in 1997 for his new method of determining the value of derivatives. His research has focused on understanding uncertainty and its effect on asset prices and the value of options, including flexibility options. He has studied the effects of tax policy on asset prices and incentives. He studied the effects of the taxation of dividends on the prices of securities, the interaction of incentives and taxes in executive compensation, capital structure issues with taxation, and the effects of taxes on the optimal liquidation of assets. He wrote several articles on investment banking and incentives and developed a new theory of tax planning under uncertainty and information asymmetry which led to a book with Mark A. Wolfson called Taxes and Business Strategies: A Planning Approach (Prentice Hall, 1991).

Scholes is currently the Chief Investment Strategist, Janus Capital Group. Previously he served as the Chairman of Platinum Grove Asset Management and on the Dimensional Fund Advisors Board of Directors, formerly, American Century Mutual Fund Board of Directors and the Cutwater Advisory Board. He was a principal and Limited Partner at Long-Term Capital Management, L.P. and a Managing Director at Salomon Brothers. Other positions Scholes held include the Edward Eagle Brown Professor of Finance at the University of Chicago, Senior Research Fellow at the Hoover Institution, and Director of the Center for Research in Security Prices, and Professor of Finance at MIT’s Sloan School of Management. Scholes earned his PhD at the University of Chicago.

Topic: Time Diversification

Guy Debelle

Assistant Governor

Reserve Bank of Australia

Dr Guy Debelle is the Assistant Governor (Financial Markets) at the Reserve Bank of Australia, a position he has held since March 2007. In that role, he has oversight of the Bank’s operations in the domestic and global financial markets, including the management of Australia’s foreign reserves. He briefs the Reserve Bank Board on developments in financial markets at the monthly Board meetings and participates as the Bank’s representative in a number of global fora.

Guy is the Chair of the BIS Markets Committee and is the Bank’s representative on the BIS Committee on Global Financial Stability.

Guy joined the Reserve Bank in 1994. He has also worked at the International Monetary Fund, the Bank for International Settlements, Australian Treasury and as a visiting professor in economics at the Massachusetts Institute of Technology (MIT). He graduated from the University of Adelaide with an honours degree in economics, and gained his PhD in economics at MIT under Stanley Fischer and Rudi Dornbusch.

Topic: Some Effects of the New Liquidity Regime

Additional Keynote Speakers

Julie Coates

Financial Services Leader, Australia

PwC

Julie is the financial services leader and the banking and capital markets leader in Australia and the AMP lead relationship partner. Julie has worked at PwC for 26 years and during the past 4 years led the Financial Services Risk and Regulatory Practice in the UK.

During her career at PwC, Julie has held many leadership roles within the firm, client relationship roles and also delivered large transformation engagements across the Financial Services industry. In the UK, Julie had overall responsibility for a team of 50 partners and 500 staff who were primarily responsible for the risk and regulatory driven work across the firm, including skilled person’s reports. Julie’s own client work focuses on a number of areas, but in particular conduct of business in the retail banking and wealth management industry, culture and behaviour projects, risk and compliance framework design and implementation, and the strategic response to regulatory change. Much of this work in the most recent five years has also been primarily around sales practices / distribution e.g. the Retail Distribution Review, suitability of advice and the Future of Financial Advice reforms.

Topic: Keeping Up the Momentum in the Australian Setting - the Job’s Not Done Yet

Wednesday 16 December 8:30am – 10:30amSession 1 Cambridge I & IIFunds Management I‘Other People’s Money’: Mum and Dad Investors vs the ProfessionalsWei Lu, University of New South WalesPeter Swan, University of New South WalesJoakim Westerholm, University of SydneyDiscussant: Marco Wilkens, University of Augsburg

�� Markus Natter, University of AugsburgMartin Rohleder, University of AugsburgDominik Schulte, University of AugsburgMarco Wilkens, University of AugsburgDiscussant: Wei Lu, University of New South Wales

Informed Trading Before Dividend Reduction Announcements: Evidence From Institutional InvestorsDarren Henry, La Trobe UniversityLily Nguyen, La Trobe UniversityHung Pham, La Trobe University��

Short Sales and Price Discovery in the Hong Kong Stock MarketWei Xiang�� Discussant: Hung Pham, La Trobe University

Chair: Petko Kalev, University of South Australia

Wednesday 16 December 8:30am – 10:30amSession 1 Cambridge III Financial Institutions IParent Bank or Parent Nation? What Explains the Performance of Multinational Banks in Switzerland?Jan-Egbert Sturm, KOF Swiss Economic InstituteBarry Williams, Monash UniversityDiscussant: Tania Lopez-Urresta, Frankfurt School of Finance & Management

��!��"��Beautiful?��#��, Frankfurt School of Finance & ManagementAdalbert Winkler, Frankfurt School of Finance & ManagementDiscussant: Jan-Egbert Sturm, KOF Swiss Economic Institute

IPO Quantity RevisionsWei Wang, Cleveland State UniversityChris Yung, University of Virginia��

CEO Board Membership: Evidence from NZ DataMichelle Li, University of AucklandHelen Roberts, University of Otago�� !� � ��

Chair: Necmi Avkiran, University of Queensland

Wednesday 16 December 8:30am – 10:30amSession 1 Cambridge IVBoardsBoard Industry Experience, Firm Value, and Investment BehaviorWolfgang Drobetz, University of HamburgFelix Von Meyerinck, University of St. GallenDavid Oesch, University of ZurichMarkus Schmid, University of St. GallenDiscussant: Xiaoxiao He, City University of Hong Kong

Signing Bonus, Managerial Ability, and Corporate PerformanceMargaret Rui Zhu, City University of Hong KongXiaoxiao He, City University of Hong KongDiscussant: Felix Von Meyerinck, University of St. Gallen

Who Joins a Sinking Ship? Some Evidence on the Market Reaction and Characteristics of Independent Directors Who Join Fraudulent FirmsMartin Bugeja, University of Technology SydneySamir Ghannam, University of Technology SydneyZoltan Matolcsy, University of Technology SydneyHelen Spiropoulos, University of Technology Sydney��!�� "��#��

��$%'�(�)��"��"*+�.��"��$��)��"��"*��Compensation for CEOs of Cross-Listed FirmsColette Southam, Bond University��"��$��"�� % ��

Chair: Hao Liang, Singapore Management University

Wednesday 16 December 8:30am – 10:30amSession 1 Essex IFinancial Stability IAn Interest Rate Commission Agent Banking SystemAmeha Tefera Tessema, Construction and Business Bank SCJan Kruger, University of South Africa��""��'�� % ��

Will Basel III Liquidity Measures Affect Bank Funding Costs?Muhammad Saifuddin Khan, University of Technology SydneyHarald Scheule, University of Technology SydneyEliza Wu, University of Technology SydneyDiscussant: Jan Kruger, University of South Africa

The Impact of Fair Value Disclosure on Liquidity RiskHawfeng Shyu, Sun Yat-sen University�� (��)� ��$�� *��

Equity Short Sales and Options: Complements or Substitutes?Marlene Haas, Vienna Graduate School of FinanceDiscussant: Hawfeng Shyu, Sun Yat-sen University

Chair: Natalya Zelenyuk, University of Queensland

Wednesday 16 December 8:30am – 10:30amSession 1 Essex IIGlobal Finance I/��(��2��+�.��Reform Matter?Iftekhar Ahmed Robin, Curtin University

Size- and Value-Based Market States and MomentumWarren David Thomson��! ��

Earnings Management and Main Bank Monitoring: Evidence from JapanHideaki Sakawa, Nagoya City UniversityNaoki Watanabel, Toyo University

Do Extreme Returns Matter in Emerging Markets? Evidence from the Chinese Stock MarketGilbert Nartea, Lincoln UniversityDongmin Kong, Huazhong University of Science and TechnologyJi (George) Wu, Xiamen University

Volatility Transmission and Volatility Impulse Response Functions in Islamic and Conventional BanksAkram Shavkatovich Hasanov, Monash UniversityMohammed Sharaf Shaiban, Monash University

Chair: Sherry Zhang, University of New South Wales

Wednesday 16 December 8:30am – 10:30amSession 1 ��The Role of Stakeholders Production Suspension Announcement and Market Value of the Firm: Evidence from KoreaSeung Hun Han, Korea Advanced Institute of Science and TechnologyYoungwoo Koh, Korea Advanced Institute of Science and TechnologyYonghyun Kwon, Korea Advanced Institute of Science and TechnologyDiscussant: Mostafa Monzur Hasan, Curtin University

An Investigation of the Links between Australia’s Taxation System and Investment in Australian Listed Companies by Different Classes of InvestorsDean Hanlon, Monash UniversitySean Pinder, University of Melbourne��%�� +�� "�� "� ��"

��"�� #��/��79��"��Organization Capital – Are They the Same? Evidence from an Analysis on Firm RisksMostafa Monzur Hasan, Curtin UniversityAdrian Cheung, Curtin University��/��0��'��'�� 1�� Technology

Sentiment Contagion Across FirmsTorsten Jochem, University of AmsterdamFlorian Peters, University of AmsterdamDiscussant: Dean Hanlon, Monash University

Chair: Nadia Massoud, University of Melbourne

Wednesday 16 December 8:30am – 10:30amSession 1 HarlequinAsset Pricing I��;��;��<��<��)��of Portfolio Strategies Based on Analyst Consensus EPS ForecastsRainer Baule, University of HagenHannes Wilke, University of Hagen��+�� 2��

Rankings of Published Price-Earnings Ratios and Investor AttentionJordan Moore, University of RochesterDiscussant: Jozef Drienko, Australian National University

Assessing Expected Return ProxiesJozef Drienko, Australian National UniversityDiscussant: Maximilian Wimmer, University of Mannheim

)��)�� "��Sustainable Management Decisions�� " #��$��%��'��Sebastian Utz, University of RegensburgMaximilian Wimmer, University of Mannheim��2�� #�� (��

Chair: Giorgio Valente, City University of Hong Kong

International Business Forum

Wednesday 16 December 201511:00am – 1:00pm Venue: Grand Ballroom II

Global and Regional Financial Stability

Time Diversification Professor Myron ScholesStanford University

Launch of the World Bank Report Doing Business 2016: Measuring Regulatory Quality and EfficiencyDr. Augusto López-ClarosDirector, Global Indicators Group, World Bank

Some Effects of the New Liquidity RegimeDr. Guy DebelleAssistant Governor, Reserve Bank of Australia

Session Chair: Fariborz Moshirian, University of New South Wales

Lunch1:00pm – 2:00pmVenue: Grand Ballroom I

Keynote Address

Wednesday 16 December 20152:00pm – 3:00pm Venue: Grand Ballroom II

Topic:Cross-Sectional Asset Pricing with Individual Stocks: Betas Versus Characteristics

Professor Tarun ChordiaEmory University

Session Chair: Peter Swan, University of New south Wales

Afternoon Tea3:00pm – 3:30pmVenue: Grand Ballroom Lobby

Wednesday 16 December 3:30pm – 5:30pmSession 2 Cambridge I & IIMarket Microstructure ISpeed of Market Access and Market Quality: Evidence from the SEC Naked Access BanBidisha Chakrabarty, Saint Louis UniversityPankaj Jain, University of MemphisAndriy Shkilko, Wilfrid Laurier UniversityKonstantin Sokolov, Wilfrid Laurier University��+��"�� "��

Intra-Day Revelation of Counterparty Identity in the World’s Best-Lit MarketThu Phuong Pham, University of Tasmania Peter Swan, University of New South WalesJoakim Westerholm, University of Sydney��

Correlated High-Frequency TradingEkkehart Boehmer, Singapore Management UniversityDan Li, University of Hong KongGideon Saar, Cornell University Discussant: Giorgio Valente, City University of Hong Kong

@��U��9�9��2�+��U��)��(��<��"��%�;�AnnouncementsGeorge J. Jiang, Washington State UniversityIngrid Lo, University of VictoriaGiorgio Valente, City University of Hong KongDiscussant: Dan Li, University of Hong Kong

Chair: Luis Goncalves-Pinto, National University of Singapore

Wednesday 16 December 3:30pm – 5:30pmSession 2 Cambridge IIISystemic Risk IThe Federal Reserve Liquidity Programs and Bank PerformanceChristina Bui, University of Technology SydneyHarald Scheule, University of Technology Sydney��%�� 3��"��

Non-Interest Income and Bank LendingPejman Abedifar, University of St AndrewsPhilip Molyneux, Bangor Business SchoolAmine Tarazi, Université de Limoges��!��#�� % ��

Old Boy Network and Capital Injection: Evidence from Japanese BanksKazuki Onji, Osaka UniversityTakeshi Osada, Saitama UniversityDavid Vera, California State University FresnoDiscussant: Hai Nguyen, Chinese University of Hong Kong

Supervisory Shopping in the Banking Sector: When is it Socially Desirable?Hai Nguyen, Chinese University of Hong Kong��"�� %��4�� 5�� "��

Chair: Christian Buschmann, Frankfurt School of Finance & Management

Wednesday 16 December 3:30pm – 5:30pmSession 2 Cambridge IVFinancial Economics ILiquidity Shortages and Contagious Debt RunsHyunsoo Doh, University of ChicagoDiscussant: Huichou Huang, University of Glasgow

Corporate Debt Structure and International TradeSilvio Contessi, Monash UniversityIl Hyun Cho, University of California DavisKatheryn Niles Russ, University of California DavisDiego Valderrama, Franklin Templeton InvestmentsDiscussant: Lingwei Li, Nanyang Technological University

.��2�)��[��!��"��\<�]��Outcomes for Post-Merger Operating Performance? Lingwei Li, Nanyang Technological UniversityHuai Zhang, Nanyang Technological UniversityDiscussant: Silvio Contessi, Monash University

The Term Structure of Exchange Rate Predictability: Commonality, Scapegoat, and DisageementHuichou Huang, University of GlasgowDiscussant: Hyunsoo Doh, University of Chicago

Chair: Qiongbing Wu, Western Sydney University

Wednesday 16 December 3:30pm – 5:30pmSession 2 Essex IBehavioural Finance IDeterminants of Household Broker Choice and the Impact on PerformanceHenry Leung, University of SydneyJuliane Krug, University of SydneyJoakim Westerholm, University of SydneyDirk Schiereck, Darmstadt University of TechnologyKingsley Fong, University of New South WalesDiscussant: Chishen Wei, Nanyang Technological University

Learning Externalities in Opaque Asset Markets: Evidence from International Commercial Real EstateRoland Füss, University of St. GallenDaniel Ruf, University of St. GallenDiscussant: Francisco Santos, Norwegian School of Economics

Trust and Local BiasChishen Wei, Nanyang Technological UniversityLei Zhang, Nanyang Technological University�� 2�� 6�$��

One Peer Effect Does Not Fit All: A Natural Field Experiment on Pension SavingsTrond Doskeland, Norwegian School of EconomicsLars Jacob Tynes Pedersen, Norwegian School of EconomicsFrancisco Santos, Norwegian School of Economics��+�� '��

Chair: Jianfeng Shen, University of New South Wales

Wednesday 16 December 3:30pm – 5:30pmSession 2 Essex IIBehavioural Finance IITrading Behaviour and Monetary Policy NewsLee Smales, Curtin UniversityDiscussant: Hui Li, La Trobe University

Investor Sentiment, Institutional Ownership, and Corporate InvestmentBruce Grundy, University of MelbourneHui Li, La Trobe UniversityDiscussant: Lee Smales, Curtin University

Investor Sentiment, Limited Arbitrage and the Cash Holding EffectsXiafei Li, Nottingham University Business SchoolDi Luo, Swansea UniversityDiscussant: Hye-hyun Park, Korea University

Overnight Strategy of Day-Traders: An Empirical Study from the Korea Stock ExchangeHye-hyun Park, Korea UniversityKyung Suh Park, Korea UniversityDiscussant: Xiafei Li, Nottingham University Business School

Chair: Gennaro Bernile, Singapore Management University

Wednesday 16 December 3:30pm – 5:30pmSession 2 ��Markets and Corporate GovernanceRegulatory Competition and the Market for Corporate LawOfer Eldar, Yale University( ��) �*�� Discussant: Hao Liang, Singapore Management University

Peer Effects of Corporate Social ResponsibilityJie Cao, Chinese University of Hong KongHao Liang, Singapore Management UniversityXintong Zhan, Chinese University of Hong Kong��3� ��7��/��

Geographic Concentration of Institutions, Corporate Governance, and Firm ValueJun-Koo Kang, Nanyang Technological UniversityXiaoran Huang, Nanyang Technological University��!�� 8��

The Information Role of Advisors in Mergers and Acquisitions: Evidence from Acquirers Hiring Targets’ Ex-AdvisorsXin Chang, Nanyang UniversityChander Shekhar, University of MelbourneLewis Tam, University of MacauJiaquan Yao, Xiamen UniversityDiscussant: Xiaoran Huang, Nanyang Technological University

Chair: Torsten Jochem, University of Amsterdam

Wednesday 16 December 3:30pm – 5:30pmSession 2 HarlequinAsset Pricing IIAre There Multiple Common Factors in Household Consumption?Konark Saxena, University of New South WalesMandeep Singh, University of New South WalesDiscussant: Jinji Hao, Washington University in St. Louis

Procyclicality of the Correlation between Dividend Growth and Consumption GrowthNancy Xu, Columbia UniversityDiscussant: Sungjune Pyun, University of Southern California

Shadow Banking and Asset PricingJinji Hao, Washington University in St. Louis�� 9�� ; 0��

^��]��2�)��"��"��<��(_��Market ReturnsSungjune Pyun, University of Southern CaliforniaDiscussant: Nancy Xu, Columbia University

Chair: Jozef Drienko, Australian National University

Thursday 17 December 8:30am – 10:30amSession 3 Cambridge I & IIBehavioural Corporate Finance<�� 7��/( ��{��|�(7��"�Stakeholder CommitmentsKenny Phua, Nanyang Technological UniversityMandy Tham, Nanyang Technological UniversityChishen Wei, Nanyang Technological UniversityDiscussant: Yue Lu, University of Waikato

^��.�� 7��/( ��!��(U��|Suman Banerjee, University of WyomingMark Humphery-Jenner, University of New South WalesRonald Masulis, University of New South WalesVikram Nanda, University of Texas at DallasLimin Xu, University of AdelaideDiscussant: Steven Chong Xiao, University of Texas at Dallas

7��/( �� .��+�<��Facilitators for Innovation?Lixiong Guo, University of New South WalesYue Lu, University of WaikatoDiscussant: Kenny Phua, Nanyang Technological University

The Culture of Corruption and the Value of Corporate Governance Nishant Dass, Georgia Institute of TechnologyVikram Nanda, University of Texas at DallasSteven Chong Xiao, University of Texas at DallasDiscussant: Mark Humphery-Jenner, University of New South Wales

Chair: Asjeet Lamba, University of Melbourne

Thursday 17 December 8:30am – 10:30amSession 3 Cambridge IIIQuantitative Finance ��2�;��Frans De Roon, Tilburg UniversityPaul Karehnke, University of New South Wales��%�"�� 8��

Clustering Huge Number of Financial Time Series: A Panel Data Approach with High-Dimensional Predictors and Factor StructuresTomohiro Ando, University of MelbourneJushan Bai, Columbia UniversityDiscussant: Thu-Ha Nguyen, Monash University

Forecasting Intraday S&P 500 Index Returns: A Functional Time Series ApproachHan Lin Shang, Australian National UniversityDiscussant: Paul Karehnke, University of New South Wales

<��)��<��}�"��2��Jump Diffusion FrameworkThu-Ha Nguyen, Monash UniversityDiscussant: Han Lin Shang, Australian National University

Chair: Li Yang, University of New South Wales

Thursday 17 December 8:30am – 10:30amSession 3 Cambridge IVFunds Management IIThe Invisible Hand of Internal Markets in Mutual Fund FamiliesLuis Goncalves-Pinto, National University of SingaporeJuan Sotes-Paladino, University of MelbourneDiscussant: Chengwei Wang, INSEAD

Lesser-Known Stocks and Signal CleanseChengwei Wang, INSEADDiscussant: Luis Goncalves-Pinto, National University of Singapore

Fight Inside the Wrapper: The Balance of Power between Insurance Companies and Asset Management CompaniesMassimo Massa, INSEADVijay Yadav, ESSEC Business SchoolDiscussant: Jennifer Kim Chau Hua, Monash University

Stock Liquidity, Intractable Information and Sovereign Wealth Fund InvestmentJennifer Kim Chau Hua, Monash UniversityFrancis Haeuck In, Monash UniversityViet Minh Do, Monash UniversityXibin Zhang, Monash University��)�<��/��7��7!�#��

Chair: Jan Kruger, University of South Africa

Thursday 17 December 8:30am – 10:30amSession 3 Essex IInternational Asset PricingAn Intertemporal Model of Exchange Rate DynamicsKonark Saxena, University of New South WalesDiscussant: Philipp Neelmeier, University of Braunschweig

The Price of Volatility Risk: Evidence from G7 CountriesRobert Faff, University of QueenslandYihui Lan, University of Western AustraliaDiscussant: Yuji Sakurai, University of California Los Angeles

How Does the Bond Market Perceive Macroeconomic Risks ��~��;��|Yuji Sakurai, University of California Los AngelesDiscussant: Konark Saxena, University of New South Wales

Covered Bonds – A Risk-Free Asset Class? Empirical Analysis of the International Covered-Bond MarketMarc Gürtler, University of BraunschweigPhilipp Neelmeier, University of BraunschweigDiscussant: Yihui Lan, University of Western Australia

Chair: Cheng Yan, Durham University

Thursday 17 December 8:30am – 10:30amSession 3 Essex IIFinancial Economics II(_��7��"��+�<�%�;�Approach to Out-of Sample ForecastingDennis Wellmann, Macquarie UniversityStefan Trück, Macquarie University�� 2��(�� ; 0��

.�� )(/�<��"��!�[�� )��Loutia Amine, Panthéon-Sorbonne UniversityConstantin Mellios, Panthéon-Sorbonne UniversityKostas Andriosopoulos, ESCP Europe��7��/��* � ��2 � �� #��=�� 9��

Cultural Distance and Housing PriceMaggie Rong Hu, University of New South WalesAdrian Lee, University of Technology SydneyDiscussant: Dennis Wellmann, Macquarie University

��!"��7��)��"�Financing Constraints: Evidence from the Maturity Extension ProgramNathan Foley-Fisher, Board of Governors of the Federal Reserve SystemRodney Ramcharan, Board of Governors of the Federal Reserve SystemEdison Yu, Federal Reserve Bank of PhiladelphiaDiscussant: Loutia Amine, Panthéon-Sorbonne University

Chair: John Crosby, University of Glasgow

Thursday 17 December 8:30am – 10:30amSession 3 ��Asset Pricing IIINonlinear Asset Pricing and Low Risk AnomaliesTe-Feng Chen, Hong Kong Polytechnic UniversitySan-Lin Chung, National Taiwan UniversityKuo-Chiang Wei, Hong Kong University of Science & Technology��!��>��$� � �� *��

��<��;��)��7��)�;��+��Effects on Portfolio ChoiceTyler Tszwang Kwong, University of New South Wales��?��4��>��

Quadratic, Cubic and Quartic Moment Risk Premiums in Currency MarketsClaudia Zunft, Goethe University FrankfurtDiscussant: Te-Feng Chen, Hong Kong Polytechnic University

Downside Gambling and Asset PricesQunzi Zhang, Shandong UniversityDiscussant: Tyler Tszwang Kwong, University of New South Wales

Chair: Muhammad Tahir Suleman, Victoria University of Wellington

Thursday 17 December 8:30am – 10:30amSession 3 HarlequinInformation, Prices and Return DistributionsSlumping Shoulders and Fat Tails: Market Microstructure and Kurtosis of Stock ReturnSuman Banerjee, University of WyomingLili Dai, Australian National UniversityDavid Lesmond, Tulane UniversityThomas Noe, University of OxfordSridhar Gogineni, University of Wyoming��2��*@�� 6�$��

Informed Options Trading Prior to Bankruptcy FilingsLi Ge, Monash UniversityJianfeng Hu, Singapore Management UniversityMark Humphery-Jenner, University of New South WalesTse-Chun Lin, University of Hong KongDiscussant: Nelson Yap, Singapore Management University

Something in the Air: Information Density, News Surprises, and Price JumpsRoland Füss, University of St. GallenMarkus Grabellus, EBS University of Business and LawFerdinand Mager, EBS University of Business and LawMichael Stein, University of Duisburg-Essen��$�� "��

Intraday S&P 500 Index Predictability and Options Trading )��Kian Guan Lim, Singapore Management UniversityYing Chen, National University of SingaporeNelson Yap, Singapore Management UniversityDiscussant: Li Ge, Monash University

Chair: Katarzyna Sum, Warsaw School of Economics

Keynote Address

Thursday 17 December 201511:00am – 12:00pm Venue: Grand Ballroom II

Topic:Are US Industries Becoming Less Competitive?

Professor Roni MichaelyCornell University

Session Chair: Fariborz Moshirian, University of New South Wales

Keynote Address

Thursday 17 December 201512:00pm – 1:00pm Venue: Grand Ballroom II

Launch of the World Bank Report Women, Business and the Law 2016: Getting to EqualDr. Augusto López-Claros World Bank

Keeping Up the Momentum in the Australian Setting - the Job’s Not Done YetJulie Coates PwC

Session Chair: Kathleen Walsh, Australian National University


Keynote Address

Thursday 17 December 20152:00pm – 3:00pm Venue: Grand Ballroom II

Topic:Recent Developments in Global Banking

Dr. Stijn ClaessensBoard of Governors of the Federal Reserve System

Session Chair: Bohui Zhang, University of New South Wales

Afternoon Tea3:00pm – 3:30pmVenue: Grand Ballroom Lobby

Thursday 17 December 3:30pm – 5:30pmSession 4 Cambridge I & IIEmerging Markets/��/��(_��7��(U��Parity in Emerging Markets?Cheng Yan, Durham UniversityKate Phylaktis, City University London�� ; 0��

Sovereign Creditworthiness and Sub-Sovereign Debt Ratings in Emerging and Developing EconomiesSanket Mohapatra, Indian Institute of Management AhmedabadManabu Nose, World BankDilip Ratha, World Bank��?��8��

Credit Booms and Busts in Emerging Markets: The Role of Bank Governance and Risk ManagementAlin Marius Andries, University of New South WalesMartin Brown, University of St. Gallen�� 9��1��1�� " ��" ��8��

Who Exaggerates the Extreme Swings in Chinese Stock Market?Shu Tian, Fudan UniversityEliza Wu, University of Technology SydneyQiongbing Wu, Western Sydney UniversityDiscussant: Cheng Yan, Durham University

Chair: Ahmad Raza, University of Otago

Thursday 17 December 3:30pm – 5:30pmSession 4 Cambridge IIICapital Markets IInformation Environment and the Geography of Firms and InvestorsGennaro Bernile, Singapore Management UniversityShimon Kogan, University of Texas at AustinJohan Sulaeman, National University of Singapore��"��>��;��

Newly Listed Firms as Acquisition Targets: The IPO Débutant EffectLuyao Pan, Lingnan UniversityXianming Zhou, Australian National UniversityDiscussant: Karl Lins, University of Utah

Illiquidity Dynamics and Stock ReturnsPhilip Drummond, Australian National UniversityJianxin Wang, University of Technology SydneyDiscussant: Johan Sulaeman, National University of Singapore

Corporate Social Responsibility and the Agency Cost of Debt During the Financial CrisisHami Amiraslani, London School of Economics & Political ScienceKarl Lins, University of UtahHenri Servaes, London Business SchoolAne Tamayo, London School of Economics & Political Science��=��9��""��;��

Chair: Andriy Shkilko, Wilfrid Laurier University

Thursday 17 December 3:30pm – 5:30pmSession 4 Cambridge IVFinancial Institutions and InstrumentsWhen Pessimism Doesn’t Pay Off: Determinants and Implications of Stock Recalls in the Short Selling MarketOleg Chuprinin, University of New South WalesThomas Ruf, University of New South Wales��>� ��+��

��(��)��2�)��Yoni CukiermanAsjeet Lamba, University of MelbourneCarsten Murawski, University of Melbourne�� Q2��;��%��0��

Currency Returns in Different Time ZonesZhengyang Jiang, Stanford University��%��"��2�� ; 0��

The Impacts of Investor Network Structure on Price Delay and Excess ReturnSan-Lin Chung, National Taiwan UniversityWen-Rang Liu, National Taiwan UniversityKevin Tseng, University of KansasDiscussant: Asjeet Lamba, University of Melbourne

Chair: Chu Zhang, HKUST

Thursday 17 December 3:30pm – 5:30pmSession 4 Essex IFinancial Economics IIIThe Impact of Compulsory Retirement Savings Contributions on Lifetime WelfareWei-Ting Pan, University of Technology SydneySusan Thorp, University of SydneyDiscussant: Gennaro Bernile, Singapore Management University

��)��+�!��2�Transmission of Asset Purchase Programs of the ECBLisa Cycon, Frankfurt School of Finance & ManagementMichael Koetter, Frankfurt School of Finance and ManagementDiscussant: Peng Wang, University of New South Wales

Geography of Firms and Propagation of Local Economic ShocksGennaro Bernile, Singapore Management UniversityStefanos Delikouras, University of MiamiGeorge Korniotis, University of MiamiAlok Kumar, University of Miami�� Q%��=�� % ��

House Prices and Consumption: Evidence from a Panel of Australian HouseholdsPeng Wang, University of New South Wales�� '� ��*��*�� Management

Chair: Thomas Weber, École polytechnique fédérale de Lausanne

Thursday 17 December 3:30pm – 5:30pmSession 4 Essex IIFinancial Institutions IIWhy Do We Miss Early Warning Signs of Economic Crises?Chris Yung, University of VirginiaDiscussant: James Brugler, University of Melbourne

Single-Security Circuit Breakers on the London Stock Exchange: Do They Improve Subsequent Market Quality?James Brugler, University of MelbourneOliver Linton, University of CambridgeDiscussant: Chris Yung, University of Virginia

Liquidity Commonality in the Secondary Corporate Loan MarketJohn Anthony, University of NewcastlePaul Docherty, University of NewcastleDoowon Lee, University of NewcastleAbul Shamsuddin, University of NewcastleDiscussant: Chong Hui Tan, SIM University

Volatilities and Correlations in the Stock Market During the Global Financial CrisisChong Hui Tan, SIM UniversityDing Ding, SIM UniversityDiscussant: John Anthony, University of Newcastle

Chair: Lee Smales, Curtin University

Thursday 17 December 3:30pm – 5:30pmSession 4 ��Funds Management IIIFamily Descent as a Signal of Managerial Quality: Evidence from Mutual FundsOleg Chuprinin, University of New South WalesDenis Sosyura, University of MichiganDiscussant: John Crosby, University of Glasgow

Hedge Funds? Is it Better to Invest in One or Own One?Gurdip Bakshi, University of MarylandMario Cerrato, Glasgow UniversityJohn Crosby, University of GlasgowDiscussant: Oleg Chuprinin, University of New South Wales

Are College Education and Job Experience Complements or Substitutes? Evidence from Hedge Fund Portfolio PerformanceByoung Uk Kang, Hong Kong Polytechnic UniversityJin-Mo Kim, Rutgers UniversityOded Palmon, Rutgers UniversityZhaodong Zhong, Rutgers University��7��2�" 4��

�� 7��+�/��ConsequencesDennis Bams, Maastricht UniversityRogér Otten, Maastricht UniversityEhsan Ramezanifar, Maastricht University��3� ��=��"��2��

Chair: Konark Saxena, University of New South Wales

Thursday 17 December 3:30pm – 5:30pmSession 4 HarlequinCEO Incentive and Monitoring��"��"��2��/( �!��7��/�"��Andrew Ellul, Indiana UniversityCong Wang, Chinese University of Hong KongKuo Zhang, Chinese University of Hong KongDiscussant: Chang-Mo Kang, University of New South Wales

Director Connectedness, Career Concerns, and Monitoring (��Kathleen Kahle, University of ArizonaVince Intintoli, Clemson UniversityWanli Zhao, Southern Illinois UniversityDiscussant: Amir Barnea, HEC Montréal

Managerial Incentives, Moral Hazard and Risk ManagementChang-Mo Kang, University of New South Wales��'��>��!�� (��'��

The Role of Luck in the Career Path of CEOS and DirectorsAmir Barnea, HEC MontréalDiscussant: Kathleen Kahle, University of Arizona

Chair: Kathleen Kahle, University of Arizona

Conference Dinner

Thursday 17 December 20157:30pm Venue: Grand Ballroom I & II

Pre-dinner drinks in Grand Ballroom Lobby from 7pm

Dinner begins at 7:30pm

Keynote Address: Global Financial Stability: Some Questions About Macro-Prudential Policies

Dr. Stijn ClaessensBoard of Governors of the Federal Reserve System

Dinner MC: Natalie Oh, University of New South Wales

Presentation of Prizes

Friday 18 December 8:45am – 10:45amSession 5 Cambrdige I & IICapital Markets IITax Aggressiveness and Idiosyncratic RiskNeeru Chaudhry, Monash UniversityHue Hwa Au Yong, Monash UniversityDiscussant: Stephanie Heck, University of Liège

Does CEO Incentive Compensation Predict Future Firm Returns? Evidence from AustraliaEmily Pham��%��+�� % ��Ben-Hsien Bao, Hong Kong Polytechnic University��; ��!��

��U��)��9�9�/��2�Stephanie Heck, University of LiègeDimitri Margaritis, University of AucklandAline Muller, University of Liège & Maastricht University��( � ��

Stock Price Response to New CEO Earnings NewsPaul Geertsema, University of AucklandDavid Lont, University of OtagoHelen Lu, University of Auckland��7"��=��"��$��

Chair: Ah Boon Sim, University of New South Wales

Friday 18 December 8:45am – 10:45amSession 5 Cambridge IIIInternational Finance<��]��)��(_��Market?Ahmad Raza, University of OtagoDiscussant: Hao Cheng, Singapore Management University

Currency Premia and Global ImbalancesPasquale Della Corte, Imperial College LondonSteven Riddiough, University of MelbourneLucio Sarno, City University London��7� � �$��* � ��2 � �� #��

(_��!��/��+��79��ContagionEverett Grant, Federal Reserve Bank of Dallas�� 2�� 8��

Industry Integration and Stock Price SynchronicityTien Foo Sing, National University of SingaporeHao Cheng, Singapore Management UniversityKian Guan Lim, Singapore Management University��"��2�4�� 3��

Chair: Katarzyna Sum, Warsaw School of Economics

Friday 18 December 8:45am – 10:45amSession 5 Cambridge IVSystemic Risk II<��"��2��!��2�(_��Global Banking SystemMasayasu Kanno, Kanagawa University��; �"�� ?� ��

Monitoring Transmission of Systemic Risk from Shadow Banking to Regulated BankingNecmi Avkiran, University of QueenslandChristian Ringle, Hamburg University of Technology & University of NewcastleRand Low, University of Queensland�� R��(��)�� "� ��"

Systemic Risk in Real-Time: Central Clearing and ‘Kill Switch’Wenqian Huang, VU University AmsterdamAlbert Menkveld, VU University Amsterdam��;�� 2�1%��

Banking Market Competition and Systemic Liquidity: International EvidenceMy Nguyen, RMIT UniversityMichael Skully, Monash UniversityShrimal Perera, Monash UniversityDiscussant: Masayasu Kanno, Kanagawa University

Chair: Katsutoshi Shimizu, Nagoya University

Friday 18 December 8:45am – 10:45amSession 5 Essex IFinancial MathematicsHow to Invest and Draw-Down Accumulated Wealth in ��"��|�<��<��Servaas van Bilsen, University of AmsterdamLans Bovenberg, Tilburg UniversityRoger Laeven, University of AmsterdamDiscussant: Carlo Sala, Swiss Finance Institute

The Pricing Kernel Density: The Case of the Information that Did Not BarkCarlo Sala, Swiss Finance InstituteGiovanni Barone Adesi, University of Lugano�� #�� "� ��"

A Rational Explanation of Disposition Effect: Portfolio Rebalancing with Transaction CostsMin Dai, National University of SingaporeHong Liu, Washington University in St. LouisJing Xu, National University of Singapore�� 8�� !��9��$*21�Z��0��*�� 1��

Pairwise Correlation Dynamics and Incomplete InformationTony Berrada, University of GenevaSebastien Coupy, GFRI & Swiss Finance InstituteThuy Duong To, University of New South WalesDiscussant: Jing Xu, National University of Singapore

Chair: Tomohiro Ando, University of Melbourne

Friday 18 December 8:45am – 10:45amSession 5 Essex IIFinancial Institutions IIIFinancial Institutions, Aggregate Liquidity Provision, and the Contagion ProcessChristian Lundblad, University of North CarolinaZhongyan Zhu, Chinese University of Hong Kong��;�� 8��

Why and How Do Banks Lay Off Credit Risk? The Choice between Retention, Loan Sales and Credit Default SwapsMehdi Beyhaghi, University of Texas at San AntonioNadia Massoud, University of MelbourneAnthony Saunders, New York University��>��>��!�� (��'��

A Network Visualization of Financial Integration and Credit RiskJohn Nkwoma Inekwe, Monash University��)�� > � �� ?� ��

.��7��(��2��+�!"��Natalya Zelenyuk, University of QueenslandValentin Zelenyuk, University of QueenslandDiscussant: John Nkwoma Inekwe, Monash University

Chair: Vinay Patel, University of Technology Sydney

Friday 18 December 8:45am – 10:45amSession 5 ��Market Microstructure IIInformation-Based Trading and Autocorrelation in Individual Stock ReturnsXiangkang Yin, La Trobe UniversityJing Zhao, La Trobe University��%[��=��\]�� % ��

Price Discovery in Stock and Options MarketsVinay Patel, University of Technology Sydney��)��, University of Technology SydneyDavid Michayluk, University of Technology SydneySean Foley, University of SydneyDiscussant: Xiangkang Yin, La Trobe University

.��7��.��(��Announcements for European StocksTobias Rühl, University of Duisburg-EssenMichael Stein, University of Duisburg-EssenDiscussant: Petko Kalev, University of South Australia

Intraday ETF Performance in the Presence of Surprise Macroeconomic AnnouncementsTravis Ban, University of South AustraliaKartick Gupta, University of South AustraliaPetko Kalev, University of South AustraliaDiscussant: Michael Stein, University of Duisburg-Essen

Chair: Paul Karehnke, University of New South Wales

Friday 18 December 8:45am – 10:45amSession 5 HarlequinAsset Pricing IVAre the Equity Premium and the Value Premium Expected? Evidence from the Calendar of Cash-Flow NewsClaire Yurong Hong, Hong Kong University of Science & TechnologyJialin Yu, Hong Kong University of Science & TechnologyDiscussant: Boris Fays, University of Liège

Size and Value Matter, But Not the Way You ThoughtMarie Lambert, University of LiègeBoris Fays, University of LiègeGeorges Hubner, University of LiègeDiscussant: Jialin Yu, Hong Kong University of Science & Technology

Industry Interdependencies and Cross-Industry Return PredictabilityDavid Rapach, Saint Louis UniversityJack Strauss, University of DenverJun Tu, Singapore Management UniversityGuofu Zhou, Washington University in St. LouisDiscussant: Geeta Duppati, University of Waikato

(�"��"��]��@��U��.��of Asian Stock MarketGeeta Duppati, University of WaikatoAnoop Kumar, Birla Institute of Technology & ScienceFrank Scrimgeour, University of Waikato��2�9��

Chair: Jinji Hao, Washington University in St. Louis

Keynote Address

Friday 18 December 201511:15am – 12:15pm Venue: Grand Ballroom II

Topic:Heterogenous Taxes and Limited Risk Sharing: Evidence from Municipal Bonds

Professor Christian LundbladUniversity of North Carolina

Session Chair: David Feldman, University of New South Wales


Friday 18 December 1:00pm – 3:00pmSession 6 Cambridge I & IIDerivative Instruments.��(��<��(��Index?Liao Xu, La Trobe UniversityXiangkang Yin, La Trobe University��%��>��(��'�� Z�% ��

The Peso Problem: Evidence from the S&P 500 Options MarketChu Zhang, Hong Kong University of Science & TechnologyTi Zhou, Hong Kong University of Science & TechnologyDiscussant: Liao Xu, La Trobe University

(7��.��<�� ]��MarketsAngelo Joseph, University of South AfricaJan Kruger, University of South AfricaDiscussant: Isabel Casas, University of Southern Denmark

Dynamic Leverage in Option PricingIsabel Casas, University of Southern DenmarkHelena Veiga, Universidad Carlos III de MadridDiscussant: Angelo Joseph, University of South Africa

Chair: Rainer Baule, University of Hagen

Friday 18 December 1:00pm – 3:00pmSession 6 Cambridge IIISystemic Risk III��/��/��/��RegulationKatsutoshi Shimizu, Nagoya UniversityPeng Xu, Hosei University��;��> � �� ?� ��

Communicating Stability in the Financial System: On the Causal Effects of Transparency on GrowthRobert Faff, University of QueenslandShams Pathan, The University of QueenslandNatalya Zelenyuk, University of QueenslandDiscussant: Xing Yan, Monash University

Sovereign Collateral as a Trojan Horse: Why Do We Need an LCRChristian Buschmann, Frankfurt School of Finance & ManagementChristian Schmaltz, University of AarhusDiscussant: Katsutoshi Shimizu, Nagoya University

Market Discipline and the Australian Deposit Guarantee: Evidence from Mutual InstitutionsXing Yan, Monash UniversityMichael Skully, Monash UniversityKatherine Avram, Monash UniversityTram Vu, Monash UniversityDiscussant: Christian Buschmann, Frankfurt School of Finance & Management

Chair: Everett Grant, Federal Reserve Bank of Dallas

Friday 18 December 1:00pm – 3:00pmSession 6 Cambridge IVCorporate Investment Institutional Investors, Investment and Innovation: A Regression-Discontinuity DesignKit Pong Wong, University of Hong KongLong Yi, Hong Kong Baptist University��)��=� �� % ��

Disentangling the Different Sources of Value Creation for DivestituresVinay Patel, University of Technology SydneyDavid Michayluk, University of Technology SydneyDiscussant: Long Yi, Hong Kong Baptist University

Measuring the Returns to Public Investment in InnovationTeresa Hogan, Dublin City UniversityMark Humphery-Jenner, University of New South WalesHuong Tran Thi Lan, University College DublinRonan Powell, University College Dublin & University of New South Wales��!��'� 9��0��Q��^�"��Q�� Munich

The Predictive Power of Measures of Financial Constraints - Evidence from Private FirmsRalf Elsas, Ludwig Maximilian University of MunichCatharina Klepsch, Ludwig-Maximilians-University of MunichDiscussant: Huong Tran Thi Lan, University College Dublin

Chair: Felix Von Meyerinck, University of St. Gallen

Friday 18 December 1:00pm – 3:00pmSession 6 Essex IEntrepreneurial Financing��+�(_��2��(��Venture SuccessEmma Li, University of Melbourne��/��>�� ?� ��

Ownership Structure and Mergers and Acquisitions Decisions: Are Family Firms Different Acquirers?Nicolas Eugster, University of Fribourg�� 9��2�<��1��1�� % ��

Firm Growth, Capital Choice Preferences, and Impact on Performance: Evidence from the SME IndustryDeepa Raju, Indian Institute of Technology MadrasThillai Rajan Annamalai, Indian Institute of TechnologyDiscussant: Nicolas Eugster, University of Fribourg

One Day in the Life of a New StockYushu Zhu, University of QueenslandJennifer Gippel, Australian National UniversityTom Smith, University of QueenslandDiscussant: Emma Li, University of Melbourne

Chair: Xianming Zhou, Australian National University

Friday 18 December 1:00pm – 3:00pmSession 6 Essex IIFunds Management IVPublic Pension Fund’s Asset Allocation in Terms of ALM and LDI: Evidence from Both GPIF and CalPERSYasuaki Watanabe, Osaka University, Kindai University & Stanford University��3� �� $��

��!"��/!��!]�.��7��(��PerformanceKhim Veasna, Université de Lorraine/��%�)�� ' ��0��( ��Discussant: Jingrui Xu, University of New South Wales

Concentration and Performance in the Active Fund Management Industry (Does Fund Managers Competition Spoil Alpha?)David Feldman, University of New South WalesKonark Saxena, University of New South WalesJingrui Xu, University of New South Wales��'��"�) �� 5��

Asset Allocation in Retirement: Does Glidepath Matter?Osei Wiafe��Anup Basu, Queensland University of TechnologyEn-Te Chen, Queensland University of TechnologyDiscussant: Yasuaki Watanabe, Osaka University

Chair: Marco Wilkens, University of Augsburg

Friday 18 December 1:00pm – 3:00pmSession 6 ��Capital Structure and Payout PolicyDo Annual Stock Price Effects of Extreme Cash Dividend Pay-Out Events Differ from Their Short Term Effects?Henk Von Eije, University of GroningenCal Muckley, University College Dublin��( ��_� �� (�"8��

Corporate Life-Cycle Dynamics of Cash HoldingsWolfgang Drobetz, University of HamburgMichael Halling, Swedish House of FinanceHenning Schröder, University of HamburgDiscussant: Henk Von Eije, University of Groningen

How Share Repurchase Affects Firm InnovationLily Nguyen, La Trobe UniversityLe Vu, La Trobe UniversityXiangkang Yin, La Trobe UniversityDiscussant: Ya Kang, National University of Singapore

Peer Effects in Capital Structure AdjustmentsHyun Joong Im, Peking UniversityYa Kang, National University of SingaporeDiscussant: Le Vu, La Trobe University

Chair: Wain Yuen, University of New South Wales

Friday 18 December 1:00pm – 3:00pmSession 6 HarlequinCompensationInformation Asymmetry, Talent Competition, and the Decline in Incentives with Firm Size: Theory and EvidenceJaeyoung Sung, Ajou UniversityPeter Swan, University of New South WalesDiscussant: Yun Tang, Norwegian School of Economics

Customer Concentration and CEO PayYun Tang, Norwegian School of EconomicsDiscussant: Peter Swan, University of New South Wales

CEO Compensation after Mergers and Acquisitions: The Role of Large Institutional OwnershipNgoc Thang Nguyen, University of DanangTung Lam Dang, University of DanangDiscussant: Seungho Choi, University of New South Wales

Executive Compensation in the Banking Industry and Systemic RiskSeungho Choi, University of New South WalesDiscussant: Tung Lam Dang, University of Danang

Chair: Sanket Mohapatra, Indian Institute of Management Ahmedabad

Friday 18 December 3:15pm – 5:15pmSession 7 Cambridge I & IICapital Markets IIILow-Beta Investment StrategiesOlaf Korn, University of GöttingenLaura-Chloé Kuntz, University of GöttingenDiscussant: Hiroyuki Aman, Kwansei Gakuin University

.�7��(��%��7�� "�#��/��Jurij-Andrei Reichenecker, University of Liechtenstein�� (��*� �8 ��

On the Role of CRA Ratings - An Event Study Analysis of European ConvertiblesSteffen Hundt, Freiberg UniversityBjörn Sprungk, University of ChemnitzAndreas Horsch, Freiberg University Discussant: Laura-Chloé Kuntz, University of Göttingen

Corporate Advertisements and the Investor Attention Effect: Evidence from the Television CommercialsHiroyuki Aman, Kwansei Gakuin UniversityNorihiro Kasuga, Konan UniversityHiroshi Moriyasu, Nagasaki University��+��<Q�� 2 ��

Chair: Alin Marius Andries, University of New South Wales

Friday 18 December 3:15pm – 5:15pmSession 7 Cambridge IIIAsset Pricing VR2 and the Corporate Signalling EffectUdomsak Wongchoti, Massey UniversityWei Hao, Massey UniversityJianguo Chen, Massey UniversityMartin Young, Massey University��6��(�8�8��

Market Sentiment and Paradigm Shifts in Equity Premium ForecastingLiya Chu, Singapore Management UniversityXuezhong He, University of Technology SydneyKai Li, University of Technology Sydney Jun Tu, Singapore Management University��;��1��#��

Does Iron Ore Move Australian Equity Prices? An Investigation of the Pricing Mechanism by Industry Sector��9�<��@��2��, Western Sydney UniversityRonald Ratti, Western Sydney UniversityJoakim Westerholm, University of SydneyDiscussant: Wei Hao, Massey University

Beyond Momentum: Investigating Statistical Learning for Winners-Minus-Losers AnomaliesNick Inglis, Bond UniversityBruce James Vanstone, Bond UniversityTobias Hahn, Bond UniversityDiscussant: Liya Chu, Singapore Management University

Chair: David Rapach, Saint Louis University

Friday 18 December 3:15pm – 5:15pmSession 7 Cambridge IVFinancial Stability IIDynamic Valuation of Delinquent Credit-Card AccountsNaveed Chehrazi, The University of Texas at AustinThomas Weber, École polytechnique fédérale de LausanneDiscussant: Nikhil Atreya, Norwegian School of Economics

Making Bank: Why High Bank Leverage is Optimal – For the Bank’s ShareholdersNikhil Atreya, Norwegian School of EconomicsAksel Mjøs, Norwegian School of EconomicsSvein-Arne Persson, Norwegian School of Economics��%��"�� 8 ��`�� 9�� R� ��5�5�� Lausanne

Off-Balance Sheet Derivatives and Banking Risk: Indonesian EvidenceArisyi Fariza Raz, Bank of IndonesiaAgusman Agusman, Bank of IndonesiaDominic Gasbarro, Murdoch UniversityGary Monroe, University of New South WalesDiscussant: Felisitas Defung, Mulawarman University

The Evolution of Bank Productivity Growth in Indonesia: An Empirical Analysis during 1993-2011Felisitas Defung, Mulawarman UniversityHarry Bloch, Curtin UniversityRuhul Salim, Curtin University��*��4��2�4��#��1��

Chair: Henk Von Eije, University of Groningen

Friday 18 December 3:15pm – 5:15pmSession 7 Essex IAsset Pricing VI��<��2�)��/��2�ReturnsPaul Geertsema, University of AucklandHelen Lu, University of Auckland��(� ��9��"��;��1�� Technology

Is Liquidity Risk Priced in Chinese Stock Markets?Keith Lam, University of MacauLewis Tam, University of Macau��= ��

A Smiling Bear in the Equity Options Market and the Cross-Section of Stock ReturnsHye-hyun Park, Korea University Business SchoolBaeho Kim, Korea University Business SchoolHyeongsop Shim, Ulsan National Institute of Science and Technology��=��$ �� "��

The Price of Asymmetric Dependence: Evidence from Australian EquitiesJamie Alcock, University of SydneyPetra Andrlikova, University of SydneyAnthony Hatherley, Citigroup & University of QueenslandDiscussant: Keith Lam, University of Macau

Chair: Maggie Rong Hu, University of New South Wales

Friday 18 December 3:15pm – 5:15pmSession 7 Essex IIGlobal Finance IIJump Risk in Indian Financial MarketMohammad Abu Sayeed, University of Tasmania

��(_��(��@��)��)��Australian Capital CitiesAbbas Valadkhani, Swinburne UniversityRussell Smyth, Monash University

��(��)��)��<��TakeoversGiang Duc Nguyen, Waseda University

Tail Contagion: Were Vietnam and China Stock Markets Out of ��/��|Cuong Cao Nguyen, Lincoln University & IPAG Business SchoolIshaq Bhatti, La Trobe University

Forecast Accuracy and Value Relevance by Firm Size - A Comparison of Management and Analyst ForecastsSaori Nara, Meiji UniversityMikiharu Noma, Hitotsubashi University

Chair: Johan Sulaeman, National University of Singapore

28th australasian finance and banking conference 2015...keynote address are us industries becoming...

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