| July 4, 2008 | 8:00 – 9:30AM |
Behavioral Finance I Function Room 6,3FSession Chair: Eric Chang, University of Hong Kong
Sex Matters: Gender Differences in a Professional SettingAlexandra Niessen, University of Cologne and Stefan Ruenzi, University of Texas at Austin
Attention and TradingYu Yuan, University of Pennsylvania
The Cross-Sectional Anchoring of Forecasted Earnings per Share and Expected Stock ReturnsLing Cen, John Wei, Hong Kong University of Science and Technology and Jie Zhang, Hong Kong Polytechnic University
The Invisible Hand in the Stock MarketJerry Liu, California State University-East Bay
Discussants: John Wei, Hong Kong University of Science and Technology
Xueping Wu, City University of Hong Kong
Konan Chan, University of Hong Kong
Dragon Tang, University of Hong Kong
| July 4, 2008 | 8:00 – 9:30AM |
Corporate Finance III Function Room 7,3FSession Chair: Wei Jiang, Columbia University
Securitization and Screening: Evidence from Subprime Mortgage Backed SecuritiesBenjamin Keys, University of Michigan, Tanmoy Mukherjee, Sorin Capital Management, Amit Seru,University of Chicago and Vikrant Vig, London Business School
Product Market Efficiency: The Bright Side of Myopic, Uninformed, and Passive External FinanceThomas Noe, University of Oxford, Michael Rebello, University of Texas at Dallas and Thomas Rietz, University of Iowa
Costly Contagion: Evidence from Bank Loan SpreadsMicah Officer, University of Southern California and Michael Hertzel, Arizona State University
Executive Compensation, Hedging, and Firm ValueChao Chen, Yanbo Jin, California State University and Min-Ming Wen, National Tsinghua University
Discussants: Ping He, Tshinghua University
Jeffrey Zwiebel, Stanford University
Philipp Schnabl, New York University
Xin Chen, Shanghai Jiaotong University
| July 4, 2008 | 8:00 – 9:30AM |
IPO and SEO Function Room 3,3FSession Chair: Xiaoyun Yu, Indiana University
Underwriter Collusion and IPO PricingFangjian Fu, Singapore Management University and Erica Li, University of Michigan
The Endogeneity of Information Asymmetry and Corporate Financing DecisionsJames Ang and Yingmei Cheng, Florida State University
What Drives Demand For IPOs: Information or Sentiment?Shiyang Huang, Zhishu Yang, Tsinghua University and Jiang Wang, Massachusetts Institute of Technology
Analysts' IPO Recommendations in the Absence of a Quiet PeriodKathryn Wong, University of New South Wales
Discussants: Huiyan Qiu, University of Hong Kong
Ge Zhang, Long Island University
Tracy Wang, University of Minnesota
Huijing Fu, Texas Christian University
| July 4, 2008 | 8:00 – 9:30AM |
Behavioral Finance (in Chinese) Function Room 2,3FSession Chair: Dengshi Huang, Southwest Jiao Tong University
行为金融学 主持人：黄登仕，西南交通大学
有限理性个体投资者行为机理的实证研究茅宁，王宁，易志高，南京大学
简单技术规则与时间序列收益可预测性：基于计算实验金融的研究张维，天津大学，天津财经大学，赵帅特，熊熊，张永杰，天津大学
风险态度、过度自信和薪酬合同：一个实验研究张征争，黄登仕，西南交通大学
中国股票市场泡沫：基于通胀幻觉和再售期权的解释陈国进，张贻军，王景，厦门大学
Discussants: 杨丹,西南财经大学
朱宏泉, 西南交通大学
万迪昉, 西安交通大学
刘力, 北京大学
| July 4, 2008 | 10:00 – 11:30AM |
International Finance I Function Room 8,3FSession Chair: Ghon Rhee, University of Hawaii
Time-Varying Integration and International Diversification StrategiesLieven Baele, Tilburg University and Koen Inghelbrecht, Ghent University
World Market Risk, Country-Specific Risk and Expected Returns in International Stock MarketsTuran Bali, City University of New York and Nusret Cakici, Arizona State University
What Drives the Variation in Equity Risk Premia around the World?Sie Ting Lau, University of New South Wales, Bohui Zhang, Nanyang Technological University and Lilian Ng, University of Wisconsin
International Stock Market Liquidity and Financial CrisisSichong Chen and Ser-Huang Poon, University of Manchester
Discussants: Dong Wook Lee, Korea University
Qianqiu Liu, University of Hawaii
Jian Yang, University of Colorado
Lilian Ng, University of Wisconsin
| July 4, 2008 | 10:00 – 11:30AM |
Asset Pricing: Empirical IV Function Room 7,3FSession Chair: Rossen Valkanov, University of California, San Diego
Investment and Stock Returns: Role of Financial ConstraintsDongmei Li, University of California at San Diego
A Generalized Portfolio Approach to Risk Arbitrage: Evidence from the MSCI Global Index ChangeHarald Hau, INSEAD
Mutual Fund Flows, Performance Persistence, and Manager SkillAlbert Wang, Chinese University of Hong Kong
Does Location Matter for Trading U.S. Stocks?Fei Wu, Massey University
Discussants: Hong Yan, University of South Carolina/CKGSB
Tongshu Ma, SUNY-Binghamton
Shu Yan, University of South Carolina
Danling Jiang, Florida State University
| July 4, 2008 | 10:00 – 11:30AM |
Derivatives I Function Room 6,3FSession Chair: George Jiang, University of Arizona
Liquidity Effects in Interest Rate Options Markets: Premium or Discount?Prachi Deuskar, University of Illinois at Urbana-Champaign, Anurag Gupta, Case Western Reserve University and Marti Subrahmanyam, New York University
Clarifying the Scope of Option Mispricing: A General TestGurdip Bakshi, University of Maryland and George Panayotov, Georgetown University
A Horse Race among Competing Option Pricing Models using S&
500 Index OptionsMinqiang Li, Georgia Institute of Technology and Neil Pearson, University of Illinois at Urbana-Champaign
Estimating and Validating Long-Run Probability of Default with respect to Basel II RequirementsPeter Miu, McMaster University and Bogie Ozdemir, Standard & Poor
Discussants: Xianfeng Jiang, People's Bank of China
Shu Yan , University of South Carolina
George Jiang, University of Arizona
Dan, Xu, University of Gonzaga
| July 4, 2008 | 10:00 – 11:30AM |
Executive Compensation Function Room 3,3FSession Chair: Mujtaba Mian, National University of Singapore
Managerial Promotions: The Determinants and Incentive EffectsRujing Meng and Xianming Zhou, University of Hong Kong
Search for Optimal CEO Compensation: Theory and Empirical EvidenceMelanie Cao, York University and Rong Wang, Singapore Management University
Optimal Compensation Contract When Managers Can HedgeHuasheng Gao, University of British Columbia
The Family behind the Family Firm: Evidence from Successions in Danish FirmsMorten Bennedsen, Copenhagen Business School, Kasper Meisner Nielsen, Chinese University of Hong Kong and Daniel Wolfenzon, New York University
Discussants: Cheng Shijun, University of Maryland/CKGSB
Sugato Bhattacharya, University of Michigan
Chao Chen, California State University
Joseph Fan, Chinese University of Hong Kong
| July 4, 2008 | 10:00 – 11:30AM |
Risk Management and Insurance (in Chinese) Function Room 2,3FSession Chair: Zhongfei Li, Zhong Shan University
风险管理,保险 主持人：李仲飞，中山大学
逆向选择还是正向选择？——我国健康险市场的实证研究王珺，高峰，清华大学
基于会计信息信用风险模型和市场信息信用风险模型的一致性问题研究戴晓凤，韦宁，湖南大学
中国保险业对经济增长贡献的理论模型与实证检验赵尚梅，北京航空航天大学，李勇，山东大学
CaR 限制下的保险公司的最优投资决择郭文旌，南京财经大学，南京大学
Discussants: 张勇，中山大学
梁建峰, 中山大学
李仲飞, 中山大学
刘京军, 中山大学
| July 4, 2008 | 11:45AM –1:00PM | Conference Lunch
Grand Ballroom B,3F
|
| July 4, 2008 | 1:15 –2:15PM | Keynote Speech Grand Ballroom A,3F |
| Keynote Speaker: | Gifford Fong
President, Gifford Fong Associates |
| Recent Structured Product Research Issues |
| July 4, 2008 | 2:30 – 4:00PM |
Derivatives II Function Room 8,3FSession Chair: Mark Holder, Kent State University
Investor Trading Behavior and Returns: Evidence from Taiwan Stock Index OptionsBing Han, University of Texas at Austin/CKGSB, Yi-Tsung Lee, National Chengchi University and Yu-Jane Liu, Peking University
Why are Derivative Warrants More Expensive than Options? An Empirical StudyGary Li and Chu Zhang, Hong Kong University of Science and Technology
Ex-Dividend Arbitrage in Option MarketsJia Hao, Wayne State University, Avner Kalay, Tel Aviv University, University of Utah and Stewart Mayhew, U.S. Securities and Exchange Commission
Choice of Interest Rate Term Structure Models for Pricing and Hedging Bermudan Swaptions-An ALM PerspectiveZhenke Guan and Ser-Huang Poon, University of Manchester
Discussants: Fei Wu, Massey University
George Jiang, University of Arizona
Prachi Deuskar, University of Illinois at Urbana-Champaign
Mark Holder, Kent State University
| July 4, 2008 | 2:30 – 4:00PM |
Behavioral Finance II Function Room 7,3FSession Chair: Mitch Warachka, Singapore Management University
Why Do Aggressive Payout Policies Reduce Fund Discounts—Is It Performance or Investor Naiveté?Jay Wang, University of Illinois at Urbana-Champaign and Vikram Nanda, Arizona State University
Investor Sentiment and Stock Market Response to Corporate NewsMujtaba Mian and Srinivasan Sankaraguruswamy, National University of Singapore
Investor Overconfidence and the Increase in Idiosyncratic RiskEric Chang and Yan Luo, University of Hong Kong
Does Learning Help Explain Momentum?Kevin Wang, University of Toronto
Discussants: Fangjian Fu, Singapore Management University
John Wei, Hong Kong University of Science and Technology
Joe Zhang, Singapore Management University
Wenjin Kang, National University of Singapore
| July 4, 2008 | 2:30 – 4:00PM |
Capital Structure Function Room 6,3FSession Chair: Jun Qian, Boston College
Initial Growth Type and the Persistence of Corporate Capital StructureXueping Wu and Chau Kin Au Yeung, City University of Hong Kong
On the Persistence of Capital Structure–Reinterpreting What We KnowNina Baranchuk and Yexiao Xu, University of Texas at Dallas
Country of Origin Effects in Capital Structure Decisions: Evidence from Foreign Direct Investment in ChinaKai Li, Dale Griffin, University of British Columbia and Heng Yue, Longkai Zhao, Peking University
Family Control Longevity: Evidence from the S& 500Roger King and Winnie Qian Peng, Hong Kong University of Science and Technology
Discussants: Yingmei Cheng, Florida State University
Xueping Wu, City University of Hong Kong
Julan Du, Chinese University of Hong Kong
Yawen Jiao, Rensselaer Polytechnic Institute
| July 4, 2008 | 2:30 – 4:00PM |
Asset Pricing: Theory and Empirical Evidence Function Room 3,3FSession Chair: Guofu Zhou, Washington University at St. Louis
Volatility versus Correlation Timing in Asset Allocation: A Bayesian PerspectivePasquale Della Corte, University of Warwick, Lucio Sarno, CEPR and Ilias Tsiakas, AXA Investment Managers
Asset Pricing and Welfare Analysis with Bounded Rational InvestorLei Lu, Shanghai University of Finance and Economics
Can Investor Heterogeneity be Useful in Explaining the Cross-section of Average Stock Returns in Emerging Markets?Chan Shik Jung, Dong Wook Lee, and Kyung-Suh Park, Korea University
Short-Sales Constraints: Reductions in Costs of Capital or Overvaluation? Evidence from Hong KongEric Chang, University of Hong Kong, Joseph Cheng, Chinese University of Hong Kong and Michael Pinegar, Brigham Young University
Discussants: Jun Tu, Singapore Management University
Yingzi Zhu, Tsinghua University
Lu Zhang, University of Michigan
Xiaoxia Lou, University of Delaware
| July 4, 2008 | 2:30 – 4:00PM |
Corporate Finance: Information and Incentive (in Chinese) Function Room 2,3FSession Chair: Li Liu, Peking University
公司财务：信息和激励 主持人：刘力，北京大学
大股东减持时机与管理者盈余预测择机——基于中国上市公司的实证研究王克敏，复旦大学，廉鹏，吉林大学
集团化运作能够缓解融资约束吗？——基于我国资本市场的经验证据李焰，黄磊，中国人民大学
高质量会计信息会改善资本配置效率吗——来自我国上市公司的经验证据李青原，武汉大学
基于激励视角的对赌合约研究李建军，费方域，上海交通大学
Discussants: 许年行, 北京大学
宿成建, 汕头大学
才静涵, 深圳证券交易所
赵龙凯, 北京大学
| July 4, 2008 | 4:30 – 6:00PM |
Financial Institutions Function Room 8,3FSession Chair: Mariassunta Giannetti, Stockholm School of Economics
Mandatory vs. Contractual Disclosure in Securities Markets: Evidence from the 1930sPaul Mahoney, University of Virginia and Jianping Mei, Cheung Kong Graduate School of Business
Does Financial Regulation Matter? Market Volatility and the US 1933/34 ActsSheng Li and Chenggang Xu, London School of Economics
Independent Institutional Investors and Equity ReturnsYawen Jiao, Rensselaer Polytechnic Institute and Mark Liu, University of Kentucky
Political Rights and the Cost of DebtYaxuan Qi, Concordia University, Lukas Roth, Pennsylvania State University and John Wald, University of Texas at San Antonio
Discussants: Vikrant Vig, London Business School
Brandon Julio, London Business School
Xin Chen, Shanghai Jiao Tong University
Kasper Nielsen, Chinese University of Hong Kong
| July 4, 2008 | 4:30 – 6:00PM |
Options and Futures Function Room 7,3FSession Chair: Christopher Ting, Singapore Management University
The Importance of Leverage in Asset Pricing: Evidence from S& 500 Index Put Option PricesRobert Geske and Yi Zhou, University of California at Los Angeles
Corporate Bond Pricing and the Effects of Endogenous Default and Call OptionsGady Jacoby, University of Manitoba and Ilona Shiller, University of New Brunswick
Information Shocks and Bond Price Jumps--Evidence from the U.S. Treasury MarketGeorge Jiang, University of Arizona, Ingrid Lo, Bank of Canada and Adrien Verdelhan, Boston University
New Bounds on American Option PricesIn Joon Kim, Yonsei University, Geun Hyuk Chang, Woori Bank and Suk Joon Byun , Korea Advanced Institute of Science and Technology
Discussants: George Wang, George Mason University
Robert Geske, University of California at Los Angeles
Yintian Wang, Tsinghua University
Yi Zhou, University of California at Los Angeles
| July 4, 2008 | 4:30 – 6:00PM |
Investment Management II Function Room 6,3FSession Chair: Mao-wei Hung, National Taiwan University
The Price of Ethics and Stakeholder Governance: Evidence from Socially Responsible Mutual FundsLuc Renneboog, Jenke Ter Horst, Tilburg University and Chendi Zhang,University of Warwick
Certification Programs and Sell-Side AnalystsXi Li, Acadian Asset Management and Tie Su, University of Miami
Information Asymmetry and Macroeconomic News in Foreign Exchange Electronic Inter-dealer MarketTham Wing Wah, University of Warwick
Institutional Investors, Intangible Information and the Book-to-Market EffectHao Jiang, RSM Erasmus University
Discussants: Hsien-hsing Liao, National Taiwan University
Chunxin Jia, Peking University
Yi-Tsung Lee, National Chengchi University
Danling Jiang, Florida State University
| July 4, 2008 | 4:30AM – 6:00PM |
Corporate Finance IV Function Room 3,3FSession Chair: Jeremy Goh, Singapore Management University
Local Bias in Venture Capital InvestmentNa Dai, University of New Mexico and Douglas Cumming, York University
The Dark Side of Private Benefits: Implications from Block TradesJaiho Chung, Joon Ho Hwang, Korea University and Joon-Seok Kim, Korea Securities Research Institute
Sources and Management Styles of Funds, and Size and Structure of Firms Portfolios: Survey from VC and PE in Mainland ChinaSihai Fang, University of Electronic Science and Technology of China
Strategic Flexibility and the Optimality of Pay for LuckRadhakrishnan Gopalan, Washington University, Fenghua Song, Penn State University, and Todd Milbourn, Washington University
Discussants: Jerry Cao, Boston College
Ping He, Tsinghua University
Galina Hale, Federal Reserve Bank of San Francisco
Huiyan Qiu, University of Hong Kong
| July 4, 2008 | 4:30AM – 6:00PM |
Commercial Banking (in Chinese) Function Room 2,3FSession Chair: Yiming Hu, Shanghai Jiao Tong University
商业银行 主持人：胡奕明，上海交通大学
引资、引智与引制：中资银行引进境外战略投资者的实证研究朱盈盈，李平，曾勇，电子科技大学，何佳，香港中文大学
中国银行业国内发展与对外开放协调性的基本判断与分析张金清，刘庆富，复旦大学
基层行长的特征、履职水平与银行的业绩和风险控制：以四川454 位行长的数据为例杨记军，西南财经大学，赵昌文，四川大学，夏秋，四川银监局
中国商业银行内部信用评级有效性的实证分析
张春，中欧国际工商学院，廖冠民，中央财经大学，倪铮，清华大学
Discussants: 陈超, 中国投资公司
朱宏辉, 中欧国际工商学院
冯芸，上海交通大学
金洪飞, 上海财经大学
| July 4, 2008 | 7:00－9:00PM | Conference Dinner
Grand Ballroom A,3F |
| July 5, 2008 | 8:00 – 9:30AM |
Liquidity Function Room 8,3FSession Chair: Tan Wang, University of British Columbia
Non-Stationarity in Spreads: The Role of Optimal lag StructureWalter Enders, University of Alabama, Frederick Harris, Wake Forest University and Robert Wood, University of Memphis
Foreign Institutional Ownership and Stock Market Liquidity: Evidence from IndonesiaGhon Rhee, University of Hawaii and Jianxin Wang, University of New South Wales
Global Financial Networks and Trading in Emerging Bond MarketsGeoffrey Booth, Michigan State University, Umit Gurun, and Harold Zhang, University of Texas at Dallas
The Density Prediction of Asset Prices with Liquidity RiskShih-Ping Feng and Mao-wei Hung, National Taiwan University
Discussants: Wenjing Kang, National University of Singapore
Dongmei Li, University of California at San Diego
Bing Han, University of Texas at Austin/CKGSB
Liuren Wu, City University of New York
| July 5, 2008 | 8:00 – 9:30AM |
International Finance II Function Room 7,3FSession Chair: John Wei, Hong Kong University of Science and Technology
Does Ethnicity Pay? Evidence from FDIs in ChinaYasheng Huang, Massachusetts Institute of Technology, Li Jin, Harvard University and Yi Qian, Northwestern University
When Shall a Country have its Own Bond Market? : Evidence from Bond Issuance before and after the Launch of the EMUGalina Hale and Mark Spiegel, Federal Reserve Bank of San Francisco
Corporate Financial Policy under Political Uncertainty: International Evidence from National ElectionsBrandon Julio, London Business School and Youngsuk Yook, SungKyunKwan University
Mutual Fund Trading Around The World: Do Information Environments Matter?Sandy Lai, Zhe Zhang, Singapore Management University, Lilian Ng, University of Wisconsin and Bohui Zhang, Nanyang Technological University and University of New South Wales
Discussants: Mitch Warachka, Singapore Management University
Jie Zhang, Hong Kong Polytechnic University
Li Jin, Harvard University
Eric Chang, University of Hong Kong
| July 5, 2008 | 8:00 – 9:30AM |
Market Efficiency Function Room 6,3FSession Chair: Tongshu Ma, SUNY- Binghamton
How Informed are the Smart Guys? Evidence from Short-Term Institutional Trading prior to Major EventsJohn Griffin, University of Texas at Austin, Tao Shu, University of Georgia and Selim Topaloglu, Queen's University
Institutional Herding and Its Impact on Stock PricesHonghui Chen, University of Central Florida and Hoang Huy Nguyen, University of Baltimore
Gambling in the New Year? The January Idiosyncratic Volatility PuzzleJames Doran, Danling Jiang and David Peterson, Florida State University
Short Sellers and Financial MisrepresentationXiaoxia Lou, University of Delaware
Discussants: Xiumin Martin, Washington University
Jia Hao, Wayne State University
Yexiao Xu, University of Texas at Dallas
Tongshu Ma, SUNY- Binghamton
| July 5, 2008 | 8:00 – 9:30AM |
Monetary Policy (in Chinese) Function Room 3,3FSession Chair: Aiguo Kong, Fudan University
货币政策和流动性过剩 主持人：孔爱国，复旦大学
国际流动性过剩对中国经济的影响分析涂永红，戴稳胜，中国人民大学
电子货币发展对货币乘数影响的实证研究周光友，华东师范大学
流动性过剩、贸易信贷与持续贸易顺产——基于中国货币政策影响贸易收支渠道的经验研究金雪军，卢佳，王义中，浙江大学
货币需求弹性、货币乘数决定与货币供求非均衡——解析“中国之谜”与长期流动性过剩李治国，复旦大学
Discussants: 项云帆, 华中科技大学
孟庆斌, 南开大学
攀登, 复旦大学
宿成建, 汕头大学
| July 5, 2008 | 8:00 – 9:30AM |
Derivatives (in Chinese) Function Room 2,3FSession Chair: Liyang Han, Bei Hang University
金融衍生品 主持人：韩立岩，北京航空航天大学
中国权证市场研究石磊，北京大学，Jin Zhang, University of Hong Kong
创设机制对权证定价效率影响的实证研究黄宇红，郭颖峰，金元证券研究所
沪深300指数期货的价格发现和波动性外溢——基于仿真交易日数据的经验研究郭彦峰，黄登仕，西南交通大学
Levy分布与欧式期权定价——方法与评判检验王安兴，胡建芳，上海财经大学
Discussants: 黄登仕, 西南交通大学
郑振龙, 厦门大学
韩立岩, 北京航空航天大学
黄宇红, 金元证券研究所
| July 5, 2008 | 10:00 – 11:30AM |
Market Microstructure Function Room 8,3FSession Chair: Robert Wood, University of Memphis
Theory-Based Illiquidity and Asset PricingTarun Chordia, Emory University, Sahn-Wook Huh, Brock University and Avanidhar Subrahmanyam, University of California at Los Angeles
Stock Price Synchronicity and LiquidityKalok Chan, Hong Kong University of Science and Technology and Allaudeen Hameed, Wenjin Kang, National University of Singapore
Limit Order Book and Commonality in LiquidityWenjin Kang and Huiping Zhang, National University of Singapore
An Improved Stochastic Conditional Duration ModelDinghai Xu and Tony Wirjanto, University of Waterloo
Discussants: Thomas McInish, University of Memphis
Sahn-Wook Huh, Brock University
Qi Zeng, University of Melbourne
Wenjin Kang, National University of Singapore
| July 5, 2008 | 10:00 – 11:30AM |
Mutual Funds Function Room 7,3FSession Chair: Bing Liang, University of Massachusetts
Capital Gains Taxes, Agency Costs, and Closed-end Fund DiscountsMichael Brennan, University of California at Los Angeles and Ravi Jain, National University of Singapore
The Rise and Fall of Portfolio Pumping Among U.S. Mutual FundsTruong Duong and Felix Meschke, University of Minnesota
Persistent Performance in Corporate-Bond Mutual FundsRoberto Gutierrez, University of Oregon, William Maxwell, University of Arizona and Danielle Xu, Gonzaga University
Brokerage Commissions, Perquisites, and Delegated Portfolio ManagementFei Ding, Hong Kong University of Science and Technology
Discussants: Jay Wang, University of Illinois at Urbana-Champaign
Yuemin Yan, University of Missouri
Yong Chen, Virginia Tech
Hong Yan, Universty of South Carolina/CKGSB
| July 5, 2008 | 10:00 – 11:30AM |
Information and Securities Prices Function Room 6,3FSession Chair: Jingzhi Huang, Pennsylvania State University
Institutional Trading, Information Production, and Corporate Spin-offsThomas Chemmanur, Boston College and Shan He, Louisiana State University
The Wealth Effects of “Oil” Name Changes on Stock Prices: Evidence from U.S. and Canadian Stock MarketsShih-An Yang, Yuanchen Chang, National Chengchi University and Robert Fok, University of Wisconsin
An Intertemporal Model of Strategic Trading Under Asymmetric InformationMing Guo, Peking University and Hui Ou-Yang, Lehman Brothers/CKGSB
Information in Order Backlog: Change versus LevelLi Gu, Fordham University, Zhiqiang Wang, Xiamen University and Jianming Ye, City University of New York
Discussants: Kathryn Wong, University of New South Wales
Kevin Wang, University of Toronto
Lin Peng, City University of New York
Min Wu, Hong Kong University of Science and Technology
| July 5, 2008 | 10:00 – 11:30AM |
Corporate Finance: Control, Mergers and IPO (in Chinese) Function Room 3,3FSession Chair: Yong Zeng, China Electronics Technology University
公司财务: 控制权, 并购和上市 主持人：曾勇，中国电子科技大学
控制权协议转让是有效率的交易吗？——基于我国上市公司2000-2003 年控制权协议转让的实证研究李善民，张媛春，中山大学
外资并购的信号传递与竞争效应分析曾亚敏，清华大学
我国上市公司退市制度实施效果的实证分析冯芸，刘艳琴，上海交通大学
全流通有助于终极控制者利益的回归吗？——来自中国家族上市公司过度负债的证据廖理，张学勇，清华大学
Discussants: 陈国进, 厦门大学
李善民, 中山大学
龚朴, 华中科技大学
邓建平, 厦门国家会计学院
| July 5, 2008 | 10:00 – 11:30AM |
Capital Market and Macroeconomics (in Chinese) Function Room 2,3FSession Chair: Xingge Zhao, China Europe International Business School
资本市场和宏观经济 主持人：赵欣舸，中欧国际工商学院
股票收益与通货膨胀：需求冲击与供给冲击的效应分解王一鸣，赵留彦，北京大学
中国股市价格泡沫的马氏域变方法检验孟庆斌，周爱民，靳晓婷，南开大学
基于MS-VECM 模型的宏观经济对股票市场收益的影响分析项云帆，华中科技大学，中国地质大学
证券市场泡沫的生成机理——基于宝钢权证自然实验的实证分析攀登，宋铮，复旦大学，施东晖，上海证券交易所
Discussants: 宿成建, 汕头大学
王安兴, 上海财经大学
靳晓婷, 南开大学
高岩, 中欧国际工商学院
| July 5, 2008 | 11:45 – 1:15PM | Conference Lunch Grand Ballroom B,3F |
| July 5, 2008 | 1:30 – 3:00PM |
Stock Returns and Volatility Function Room 8,3FSession Chair: Nengju Ju, Hong Kong University of Science and technology
Return Predictability under Equilibrium Constraints on the Equity PremiumDavide Pettenuzzo, Bates and White, Allan Timmermann, Rossen Valkanov and Rosalin Wu, University of California at San Diego
Mispricing in Linear Asset Pricing ModelsQiang Kang, University of Miami
The Economic Value of Volatility Timing Using a Range-based Volatility ModelRay Chou, Academia Sinica, National Chiao Tung University and Nathan Liu, National Chiao Tung University
Two Paths to Financial DistressGil Aharoni, Christine Brown and Qi Zeng, University of Melbourne
Discussants: Shu Yan, University of South Carolina
George Panayotov, Georgetown University
Mungo Wilson, Hong Kong University of Science and Technology
Jie Zhang, Hong Kong Polytechnic University
| July 5, 2008 | 1:30 – 3:00PM |
Corporate Finance V Function Room 7,3FSession Chair: Wei-Ling Song, Louisiana State University
Mergers and Product Market RelationshipsKenneth Ahern, University of Michigan
Related Party Transactions in China before and after the Share Structure ReformChuan-Yang Hwang, Shaojun Zhang, and Yanjian Zhu, Nanyang Technological University
Effects of Frequent Information Disclosure: The Case of Daily Net Asset Value Reporting for Closed-end Investment CompaniesGary McCormick, University of North Texas and Dan French, University of Missouri
Corporate Diversification in China: Causes and ConsequencesJoseph Fan, Chinese University of Hong Kong, Jun Huang, Shanghai University of Finance & Economics, Felix Oberholzer-Gee, Harvard University and Mengxin Zhao, Bentley College
Discussants: Wenxuan Hou, Bradford University
Meijun Qian, National University of Singapore
Chunqi Zhang, Singapore Management University
Shan He, Louisiana State University
| July 5, 2008 | 1:30 – 3:00PM |
Asset Pricing: Empirical V Function Room 6,3FSession Chair: Lin Peng, City University of New York
The Exact Distribution of the Hansen-Jagannathan BoundRaymond Kan, University of Toronto and Cesare Robotti, Federal Reserve Bank of Atlanta
Heterogeneity in Horizon, Equilibrium Clientele, and the Cross-Section of Value PremiumHong Zhang, INSEAD
Conditional Expectation and the Variability of Equity REIT ReturnsJinliang Li, Tsinghua University, Robert Mooradian and Shiawee Yang, Northeastern University
Divergence of Opinion, Arbitrage Costs and Stock ReturnsJin Wu, University of Georgia
Discussants: Jianfeng Yu, University of Pennsylvania
Ping He, Tsinghua University
Ke Tang, University of Cambridge
Xing Zhou, Rutgers University
| July 5, 2008 | 1:30 – 3:00PM |
Corporate Finance: Financing and Capital Structure (in Chinese) Function Room 3,3FSession Chair: Jinliang Li, Tsinghua University
公司财务: 融资和资本结构 主持人：郦金梁，清华大学
IPO市场择机对公司资本结构的持续效应研究王志强，李博，厦门大学
宏观政策变化与企业资本结构调整——基于中国房地产上市公司的研究王正位，赵冬青，朱武祥，清华大学
控股股东控制、负债融资与企业投资——基于中国上市公司非平衡数据的实证研究张栋，西安交通大学，新疆财经大学
公司治理影响债务期限水平吗？——来自中国上市公司的经验证据肖作平，西南交通大学，廖理，清华大学
Discussants: 王茵田,清华大学
吕长江,复旦大学
冯芸,上海交通大学
刘淳,清华大学
| July 5, 2008 | 1:30 – 3:00PM |
Regional and Rural Financial Development (in Chinese) Function Room 2,3FSession Chair: Xiaozu Wang, Fudan University
区域和农村的金融发展 主持人：王小卒，复旦大学
财政分权背景下的区域金融发展及其增长绩效——基于地方政府干预视角的实证研究沈坤荣，张璟，南京大学
信用激励机制在小额信贷中的有效性研究赵岩青，王玮，中国农业大学
欠发达地区农户借贷的影响因素、金融抑制以及其福利影响分析——以江苏省宿迁市为例张兵，许国玉，南京农业大学
“十五”期间中国各地区农村资金配置效率比较研究温涛，西南大学，熊德平，浙江大学，宁波大学
Discussants: 朱天, 中欧国际工商管理学院
王克敏, 复旦大学
高岩, 中欧国际工商管理学院
李治国, 复旦大学
| July 5, 2008 | 3:30 – 5:00PM |
Corporate Governance IV Function Room 8,3FSession Chair: Chun Chang, China Europe International Business School
Convertible Securities in Merger Transactions and the Resolution of the Double-Sided Asymmetric Information ProblemAn Yan, Fordham University
Distress without Bankruptcy: An Emerging Market PerspectiveJoseph Fan, Chinese University of Hong Kong, Jun Huang, Shanghai University of Finance and Economics and Ning Zhu, University of California at Davis
Compensation Dispersion, Work Interdependence, and PerformanceHan Kim and Yao Lu, University of Michigan
Rules versus Practice: Governance in the Financial Services SectorWarren Hogan and Rowan Trayler, University of Technology, Sydney
Discussants: Huiyan Qiu, University of Hong KongXin Chen, Shanghai Jiaotong University
Luo Jiang, Nanyang Technological University
Xiaozu Wang, Fudan University
| July 5, 2008 | 3:30 – 5:00PM |
Asset Pricing: Theory III Function Room 7,3FSession Chair: Sheridan Titman, University of Texas at Austin
Term Premium Dynamics and the Taylor RuleMichael Gallmeyer, Texas A&M University, Burton Hollield, Stanley Zin, Carnegie Mellon University, and Francisco Palomino, University of Michigan
Ambiguity, Learning, and Asset ReturnsNengjiu Ju, Hong Kong University of Science and Technology and Jianjun Miao, Boston University
Heterogeneity and Volatility Puzzles in International FinanceTao Li, Chinese University of Hong Kong and Mark Muzere, Suffolk University
Discussants: Jianfeng Yu, University of Pennsylvania
Jaeyoun Sung, University of Illinois at Chicago
Hong Liu, Washington University
| July 5, 2008 | 3:30 – 5:00PM |
Derivatives III Function Room 6,3FSession Chair: Charles Cao, Pennsylvania State University
Simple Robust Linkages between CDS and Equity OptionsPeter Carr, New York University & Bloomberg L.P. and Liuren Wu, City University of New York
Large Trades and Intraday Futures Price BehaviorAlex Frino, Andrew Lepone, University of Sydney, George Wang and Johan Bjursell, George Mason University
A Further Look at the Price of Default RiskRonald Anderson, London School of Economics
On the Term Structure of Model-Free Volatilities and Volatility Risk PremiumK.G. Lim and Christopher Ting, Singapore Management University
Discussants: Shu Yan, University of South Carolina
Chun Liu, Tsinghua University
K.G. Lim, Singapore Management University
Jerry Liu, California State University
| July 5, 2008 | 3:30 – 5:00PM |
Corporate Governance (in Chinese) Function Room 3,3FSession Chair: Wuxiang Zhu, Tsinghua University
公司治理 主持人：朱武祥，清华大学
市场化改革、企业业绩与薪酬契约选择辛清泉，重庆大学，香港城市大学，谭伟强，香港城市大学
投资者保护、股权集中与利益侵占的时域研究吕长江，复旦大学，周县华，吉林大学
CEO薪酬、公司治理与公司业绩——中国上市公司绩效薪酬激励有效吗？杨青，复旦大学，Steven Toms，University of York, Besim Burcin Yurtoglu, University of Vienna
治理环境、董事会效率与投资者关系管理马连福，陈德球，高丽，南开大学
Discussants: 杨青, 复旦大学
陈德球, 南开大学
辛清泉, 重庆大学
吕长江, 复旦大学
| July 5, 2008 | 3:30 – 5:00PM |
International Finance and Cross-border Investment (in Chinese) Function Room 2,3FSession Chair: Zhishu Yang, Tsinghua University
国际金融和跨国投资 主持人：杨之曙，清华大学
人民币汇率变动与中国境外直接投资的关系研究——基于境外投资规模与结构的实证聂名华，马翔，中南财经政法大学
人民币即期汇率市场与境外衍生市场之间的信息流动关系研究李晓峰，陈华，厦门大学
国际游资对中国经济影响的实证分析尹宇明，电子科技大学，倪克勤，西南财经大学
新汇率体制下中国上市公司外汇风险暴露研究陈学胜，周爱民，南开大学
Discussants: 宿成建, 汕头大学
王茵田, 清华大学
金洪飞, 上海财经大学
屈文州, 厦门大学
中国金融国际年会上宣读和接收的论文版权归作者所有，任何刊物刊登和发表须经作者本人同意。否则，一切后果自负。Copyrights of papers accepted for the presentation at the China International Conference in Finance are held by their authors. Any form of publication of these papers needs explicit permission from the authors, and violators will be subject to legal actions.
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发表于 2008-6-11 15:58:00
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