NCTU International Conference on Finance

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交通大學財務金融國際研討會

大會主題：數量財務與風險管理

時間(Date)：98年1月16日（星期五）8：30 AM --17：10 PM
(8：30 AM ~17：10 PM, Friday, January 16, 2009)

地點(Location)：國立交通大學交映樓一樓國際會議廳
(1F, International Conference Hall, CPT Building, National Chiao Tung University)

Program Director:

Cheng-Few Lee, Rutgers University, USA
and National Chiao Tung University, Taiwan

Program Co-Director:

Huimin Chung, National Chiao Tung University, Taiwan

主辦單位(Conference Organizers)：

國立交通大學財務金融研究所

Institute of Finance, National Chiao Tung University

財團法人亞太金融研究發展基金會

Foundation of Pacific Basin Financial Research and Development

協辦單位(Conference Co-Organizers)：

臺灣證券交易所 Taiwan Stock Exchange Corporation (TWSE)

德明財經科技大學財金學院 College of Finance, Takming University of Science and Technology

贊助單位(Sponsors)：

國際票券金融股份有限公司 International Bills Finance Corp.

臺灣期貨交易所 Taiwan Futures Exchange (TAIFEX)

社團法人台灣財務工程學會 Financial Engineering Association of Taiwan

開南大學 Kainan University

主辦單位聯絡電話(TEL)：(03)5712121 Ext. 57073

聯絡地址(Address)： 300新竹市大學路1001號國立交通大學財務金融研究所

研討會議程 Conference Program

8:30~9:00 報到 Registration

9:00~9:10 校長致辭 Welcome Remark 1

9:10~9:20 院長致辭 Welcome Remark 2

9:20~10:00 專題演講 Keynote Speech

Chairperson: Hsien-Chang Kuo, Takming University of Science and Technology, Taiwan

Title: Overview of Quantitative Finance and Risk Management Research

Speaker: Cheng-Few Lee
Rutgers University, USA
National Chiao Tung University, Taiwan

10:00~10:20 休息Tea Break

10:20~12:00 Session I、II

Session I. Stochastic Volatility Model

Chairperson: Ming-Chih Lai, National Chiao Tung University, Taiwan

1. Likelihood Inference about stochastic volatility model with application to option pricing

Wei-Fang Niu, G5 Capital Management and National Chiao Tung University, Taiwan

2. Assessing Quantile Reserves of Long-Duration Equity-Linked Insurance Products for Returns Exhibiting Stochastic Volatility

Hwai-Chung Ho, Academia Sinica and National Taiwan University, Taiwan

3. Information Content Comparisons for Various Volatility Measures: Evidence from Individual Stock Options

Chuang-Chang Chang, National Central University, Taiwan

Tzu-Hsiang Liao, National Central University, Taiwan

Miao-Ying Chen, Chi-Yi University, Taiwan

4. Range volatility models and their applications in finance

Ray Yeutien Chou, Institute of Economics, Academia Sinica, Taiwan

Hengchih Chou, National Taiwan Ocean University, Taiwan

Nathan Liu, National Chiao Tung University, Taiwan

10:20~12:00 Session I、II

Session II. Investment Analysis

Chairperson: Sheng-Syan Chen, National Taiwan University, Taiwan

1. Local Sports Sentiment and the Returns and Trading Behavior of Locally Headquartered Stocks: A Firm-Level Analysis

Shao-Chi Chang, National Cheng Kung University, Taiwan

Sheng-Syan Chen, National Taiwan University, Taiwan

Robin K. Chou, National Central University, Taiwan

Yueh-Hsiang Lin, Takming University of Science and Technology, Taiwan

2. Optimal trading strategy in a model with partial information

Chung-Hsuan Hu, National Chiao Tung University, Taiwan

Chun-Chang Huang, National University of Kaohsiung, Taiwan

Ching-Tang Wu, National Chiao Tung University, Taiwan

3. What kind of trading drives return autocorrelation?

Chun-Kuei Hsieh, National Taiwan University, Taiwan

Shing-Yang Hu, National Taiwan University, Taiwan

4. Investor Sentiment, Regimes and Stock Returns

San-Lin Chung, National Taiwan University, Taiwan

Chung-Ying Yeh, National Taiwan University, Taiwan

5. Information Asymmetry and Price Adjustments: How Liquidity Can Help

William T. Lin, Tamkang University, Taiwan

Shih-Chuan Tsai, Ling Tung University, Taiwan

David S. Sun, Taiwan Academy of Banking and Finance, Taiwan

12:00~13:30 午餐Lunch Time

13:30~15:10 Session III、IV

Session III. Credit Rating and Risk Management

Chairperson: Shu-Hsing Li, National Taiwan University, Taiwan

1. The Structural Agency Solution to Determine Going Concern Status

Ren-Raw Chen, Rutgers University, USA

Hsuan-Chu Lin, National Cheng Kung University, Taiwan

Michael Long, Rutgers University, USA

2. Predicting Issuer Credit Ratings Using a Semiparametric Method

Ruey-Ching Hwang, National Dung Hwa University, Taiwan

Huimin Chung, National Chiao Tung University, Taiwan

C.K. Chu, National Dong Hwa University, Taiwan

3. Credit Analysis of Corporate Credit Portfolios---A Cash Flow Based Conditional Independent Default Approach

Hsien-Hsing Liao, National Taiwan University, Taiwan

Tsung-kang Chen, National Taiwan University, Taiwan

Yu-hui Su, Shin Kong Life Insurance Co., Ltd., Taiwan

4. An Empirical Study on Credit Default Swap Spreads in Taiwan

Tsai-Lin Liao, Providence University, Taiwan

Hsin-Yi Hung, Providence University, Taiwan

Min-Teh Yu, Providence University, Taiwan

13:30~15:10 Session III、IV

Session IV. Corporate Finance and Banking Management (A)

Chairperson: Chau-Cheng Yang, National Taiwan University, Taiwan

1. When Does the Privatization of Banks Improve Performance? The Application of the Matching Method

Chung-Hua Shen, National Taiwan University, Taiwan

Chih-Yung Lin, National Taiwan University, Taiwan

2. Banking Relationships, Managerial Ownership and the Performance of Taiwanese Firms

Hai-Chin Yu, Chung Yuan University, Taiwan

Ben J. Sopranzetti, Rutgers University, USA

Cheng-Few Lee, Rutgers University, USA

3. Changing Corporate Names as Brand Name Investments

YiLin Wu, National Tsing Hua University, Taiwan

4. The Impact of Auditors' Opinions, Macroeconomic and Industry Factors on Financial Distress Prediction: An Empirical Investigation

Cheng-Few Lee, Rutgers University, USA and National Chiao Tung University, Taiwan

Lili Sun, Rutgers University, USA

Bi-Huei Tsai, National Chiao Tung University, Taiwan

5. On the Rate of Convergence of Binomial Greeks

San-Lin Chung, National Taiwan University, Taiwan

Weifeng Hung, Feng-Chia University, Taiwan

Pai-Ta Shih, National Taiwan University, Taiwan

15:10~15:30 休息Tea Break

15:30~17:10 Session V、VI

Session V. Options and Futures

Chairperson: Han-Hsing Lee, National Chiao Tung University, Taiwan

1. Numerical Valuation of Asian Options with Higher Moments in the Underlying Distribution

Kehluh Wang, National Chiao Tung University, Taiwan

Ming-Feng Hsu, Tatung University, Taiwan

2. A study of arbitrage efficiency between the Taifex index future and option contracts

Chuang-Chang Chang, National Central University, Taiwan

Shu-Ying Lin, Minghsin University of Science and Technology, Taiwan

Jia-Haur Tzeng, National Central University, Taiwan

3. A Re-examination Exchange Rate Exposure: The Impact of Earnings Management and Currency Derivative Usage

Feng-Yi Chang, China University of Technology, Taiwan

Chin-Wen Hsin, Yuan Ze University, Taiwan

Shin-Rong Shiah-Hou, Yuan Ze University, Taiwan

4. Derivations and Applications of Greek Letters – Review and Integration

Hong-Yi Chen, Rutgers University, USA

Cheng-Few Lee, Rutgers University, USA

Weikang Shih, Rutgers University, USA

15:30~17:10 Session V、VI

Session VI. Corporate Finance and Banking Management (B)

Chairperson: Sue-Fung Wang, National Chiao Tung University, Taiwan

1. Insider Selling and Exchange Listing Stock Returns

Tsai-Ling Liao, Providence University, Taiwan

Min-Teh Yu, Providence University, Taiwan

2. Comprehensive Disclosure of Compensation and Firm Value: The Case of Policy Reforms in an Emerging Market

Her-Jiun Sheu, National Chi Nan University, Taiwan

Huimin Chung, National Chiao Tung University, Taiwan

Chih-Liang Liu, National Chiao Tung University, Taiwan

Fu-Ju Yang, Chinese Culture University, Taiwan

3. Effectiveness of Dividend Policy Under The Capital Asset Pricing Model: A Dynamic Analysis

Manak C. Gupta, Temple University, USA

Alice C. Lee, San Francisco State University, USA

Cheng-Few Lee, Rutgers University, USA

4. Keiretsu-Style Main Bank Governance, Influential Power and Cash Holdings: Quantile Regression Analysis

Hai-Chin Yu, Chung Yuan University, Taiwan