PROGRAM
PACIFIC BASIN FINANCE, ECONOMICS, AND ACCOUNTING
Rutgers University at New Brunswick, New Jersey
Cheng-Few Lee, Rutgers University, USA
Program Co-directors
Ivan Brick, Rutgers University, USA
Nemmara Chidambaran, Rutgers University, USA
Program Committee Members
James R. Barth, Auburn University, USA
Ren Raw Chen, Rutgers University , USA
Chin-chen Chien, National Cheng-Kung University, Taiwan
J. Jay Choi, Temple University, USA
C.H. Ted Hong, BeyondBond Inc., USA
Yasuo Hoshino, University of Tsukuba, Japan
Frank C. Jen, SUNY at Buffalo, USA
John C. Lee, JP Morgan Chase & Company, USA
Alice C. Lee, San Francisco State University , USA
Picheng Lee, Pace University, USA
William T. Lin, Tamkang University, Taiwan
Martin Markowitz, Rutgers University, USA
Oded Palmon, Rutgers University, USA
James H. Scott, Prudential Investments, USA
Khee Giap Tan, Nangyang Technological University, Singapore
Emilio Venezian, Rutgers University, USA
Gili Yen, Chaoyang University of Technology, Taiwan
Gillian Yeo, Nanyang Technological University, Singapore
Organizers
Rutgers School of Business, Rutgers University, USA
Co-organizers
National Chiao-Tung University, Taiwan
Foundation of Pacific Basin Financial Research and Development
Sponsors
1993 U.S.A. Rutgers University, New Jersey
1994 Hong Kong Hong Kong Chinese University, Hong Kong
1995 Taiwan, R.O.C. Taiwan Institute of Economic Research, Taipei
1996 U.S.A. Rutgers University, New Jersey
1997 Singapore Nanyang Technological University, Singapore
1998 Hong Kong Hong Kong Polytechnic University, Hong Kong
1999 Taiwan, R.O.C. National Taiwan University, Taipei
2000 Thailand Chulalongkorn University, Bangkok
2001 U.S.A. Rutgers University, New Jersey
2002 Singapore Nanyang Technological University, Singapore
2003 Taiwan, R.O.C. National Chiao Tung University, Hsinchu
2004 Thailand The Consortium of Thai Universities, Bangkok
8.00 a.m. – 9.00 a.m. Registration and Continental Breakfast
9:00 a.m. – 9: 10 a.m. Welcome, Auditorium, Livingston Student Center
Speaker: Cheng Few Lee
9:10 a.m. – 9:20 a.m. Opening Remarks, Auditorium, Livingston Student Center
Speaker: Provost Steve Diner
9:20 a.m. – 9:30 a.m. Opening Remarks, Auditorium, Livingston Student Center
Speaker: Dean H. Tuckman,
9:30 a.m. – 10:10 a.m. Keynote Speech I, Auditorium, Livingston Student Center
Speaker: Robert F. Engle
10:10 a.m. – 10:40 a.m. Keynote Speech II, Auditorium, Livingston Student Center
Speaker: Thomas M.F. Yeh
10:40 a.m. – 11:10 a.m. Keynote Speech III, Auditorium, Livingston Student Center
Speaker: George Kaufman
1:10 a.m. – 11:25 a.m. Coffee break
Session III: Corporate Governance (Room JHL 106)
Session IV: MBS and Credit Derivatives- the recent development (Room JHL 003)
Session V: Imputation Systems: Dividends and Capital Structure (Room JHL 006)
Session VI: Monetary Policy (Room JHL 005)
1:00 p.m. – 1:40 p.m. Lunch
1:40p.m. – 2:20 p.m. Keynote Speech IV, Auditorium, Livingston Student Center
Speaker: Martin J. Gruber
Concurrent Sessions: 2.30 p.m. – 4:00 p.m
Session VII: Foreign Exchange Markets (Room JHL 107C)
Session VIII: Options Markets (Room JHL 107B)
Session IX: Valuation and Risk Management (Room JHL 106)
Session X: Empirical Finance (Room JHL 003)
Session XI: Credit Risk Management (Room JHL 006)
Session XII: Economic Indicators and Stock Market of US and Japan (Room JHL 005)
4:00 p.m. – 4:15 p.m. Coffee
Concurrent Sessions: 4:30 p.m. – 6:00 p.m
Session XIII: Impacts of Outsourcing on U.S. Economy (Room JHL 107C)
Session XIV: Corporate Finance (A) (Room JHL 107B)
Session XV: Global Trends in Hedge Funds (Room JHL 106)
Session XVI: IPO (Room JHL 003B)
Session XVII: Returns Predictability (Room JHL 006)
Session XVIII: International Finance and Emerging markets (Room JHL 005)
6:30 p.m. – 8:00 p.m. Dinner at Hayett Regency (Garden State Ballroom)
Saturday, June 11, 2005
8:00 a.m. – 9:00a.m. Registration and Continental Breakfast
9:00 a.m. – 9:40 a.m. Keynote Speech V, Auditorium, Livingston Student Center
Speaker: Wayne Ferson
9:40 a.m. – 10:20 a.m. Keynote Speech VI, Auditorium, Livingston Student Center
Speaker: Kose John
10:20 a.m. – 10:35 a.m. Coffee break
10:35 a.m. – 12:00pm International Management Education
Auditorium, Livingston Student Center
12:00p.m. – 1:20p.m. Lunch
Concurrent Sessions: 1:30p.m. – 3:00 p.m.
Session XIX: Corporate Finance (B) (Room JHL 107C)
Session XX: Interest Rate Models (Room JHL 102)
Session XXI: Financial Accounting (Room JHL 106)
Session XXII: Credit Risk Management (Room JHL 103
Session XXIII: International Accounting (Room JHL 006)
Session XXIV: Asian Financial Market (Room 005)
3:00 p.m. – 3:30 p.m. Coffee break
Concurrent Sessions: 3:30p.m. – 5:00 p.m.
Session XXV: Credit Risk (Room JHL 107C)
Session XXVI: Banking Management and Monetary Policy (Room JHL 102)
Session XXVII: Asian Stock Market and Corporate Finance (Room JHL 106)
Session XXVIII: Financial Econometrics (Room JHL 103)
Session XXIX: International Corporate Governance (Room JHL 006)
Session XXX: Executive Compensation (Room JHL 005)
8:00 a.m. – 9:00 a.m. Registration and Continental Breakfast
Livingston Student Center
9:00 a.m. – 9: 10 a.m. Welcome, Auditorium, Livingston Student Center
Dr. Cheng Few Lee
Rutgers University, USA
9:10 a.m. – 9:20 a.m. Opening Remarks, Auditorium, Livingston Student Center
Provost Steve Diner
Rutgers University, USA
9:20 a.m. – 9:30 a.m. Opening Remarks, Auditorium, Livingston Student Center
Dean H. Tuckman,
Rutgers University, USA
9:30 a.m. – 10:10 a.m. Keynote Speech I, Auditorium, Livingston Student Center
Speaker: Robert F. Engle
Michael Armellino Professorship in the Management of Financial Services, New York University, USA
2003 Nobel Laureate in Economics
Topic: The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes
Chairperson: Dr. Ted Hong, President & CEO, Beyondbond, Inc.
10:10 a.m. – 10:40 a.m. Keynote Speech II, Auditorium, Livingston Student Center
Speaker: Thomas M.F. Yeh
Vice Chairman, Council for Economic Planning and Development, Executive Yuan (the cabinet), Taiwan, ROC.
Topic: Taiwan’s Financial Reforms, Taiwan's Situation and Outlook., Paper (reform)
Chairperson: Andrew Li-Yan Hsia, Director-General Taipei Economic and Cultural Officer in New York
10:40 a.m. – 11:10 a.m. Keynote Speech III, Auditorium, Livingston Student Center
Speaker: George Kaufman
John F. Smith Professor of Finance and Economics
Title: Basel II: Quo Vadis?
Chairperson: Professor Ivan Brick, Rutgers University, USA
11:10 a.m. – 11:25 a.m. Coffee break
11.25 a.m. – 1:00 p.m.
Session Chair: Ivan Brick, Chairman of Finance Department, Rutgers University
1. The Dynamic of Security Trades, Quote Revisions, and Market Depths for Actively Traded Stocks
Shafiqur Rahman, Portland State University, USA
Chandrasekhar Krishnamurti, Nanyang Technological University, Singapore
Alice C. Lee, San Francisco State University, USA
2. Dynamic Price Discovery in a Divergent Expectations Environment
Jacob Paroush, Bar-Ilan University, Isreal
Robert A. Schwartz, Baruch College of the City University of New York, USA
Avner Wof, Baruch College of The City University of New York, USA
Ronald J. Balvers, West Virginia University, USA
Yangru Wu, Rutgers University, USA
4. Does the Spiders Market Attract Uninformed Trading Volume?
Quentin C. Chu, University of Memphis, USA
Dan Zhou, St. John Fisher College
Session Chair: Glenn Shafer, Rutgers University
1. Hedging Pressure, Delivery Risk, and Risk Premiums in Futures Market: Empirical Evidence
Joseph Kang, Nanyang Technological University, Singapore
Charnwut Roongsangmanoon, MFC Asset Management PLC, Thailand
2. Impact of Futures Introduction on Underlying Index Volatility Evidence from India
Kotha Kiran Kumar, Indian Institute of Science, India
Chiranjit Mukhopadhyay, Indian Institute of Science, India
3. The Impact of Warrant Introduction: Australian Experience
Michael Clarke, Deakin University, Australia
Gerard Gannon, Deakin University, Australia
Russell, Vinning, Deakin University, Australia
Session Chair: Hamid Mehran, New York Federal Reserve, USA
1. Board Committee Structure, Incentives, and Firm Performance
Hamid Mehran, New York Federal Reserve, USA
2. Financial Fraud, Director Reputation, and Shareholder Wealth.
Eli Fitch, Drexel University, USA
Anil Shivdasani, University of North Carolina at Chapel Hill, USA
3. Monitoring by Institutional Investors: Evidence from Ownership Changes and Trading Behavior around Restatements.
Natasha Burns, University of Georgia, USA
Simi Kedia, Rutgers University, USA
Marc Lipson, University of Georgia, USA
Session IV: MBS and Credit Derivatives- the recent development (Room JHL 003)
Session Chair: Dr. Ted Hong, Beyondbond, Inc
Panelists: David Jacob, Momura Global Fixed Income Research Head
C. Mustafa, Deusche Bank US Rate Strategy Research Head
Wen Wang, Robeco Asset Management Portfolio Manager
Patric Hagan, Bloomberg Interest Derivative Research Head
Session V: Imputation Systems: Dividends and Capital Structure (Room JHL 006)
Session Chair: Mike Long, Rutgers University, USA
1. Signaling Cost of Dividend Imputation System
Jinho Jeong, Kyungnam University, Korea
Chau-Chen Yang, National Taiwan University, Taiwan
Cheng Few Lee, Rutgers University, USA
Suming Lin, National Taiwan University, Taiwan
Sheng-Syan Chen, National Taiwan University, Taiwan
Abu Taher Mollik, University of South Australia, Australia
Session VI: Monetary Policy (Room JHL 005)
Session Chair: Elisa Muresan, Long Island University, USA
1. Trilemma Revisited with Special Reference to the Return on Bank Reserves
Wong Chin-Yoong, New Era College, Malaysia
2. Managing Currency Crisis: The Case for Dual Demand Driven Monetary Policy
Wong Chin-Yoong, New Era College, Malaysia
3. The Determinants of Bank Credit Growth in Indonesia During 1992-2004: A Supply Side Approach
Abdul Mongid, Center for Research and Community Service, Indonesia
4. Financial Returns and a General Equilibrium Approach in a q, Y Space
Ermelinda Lopes, Minho University, Portugal
1:00 p.m. – 1:40 p.m. Lunch (Dinning room, Livingston student center)
1:40p.m. – 2:20 p.m. Keynote Speech (IV) (Auditorium, Livingston Student Center)
Speaker: Martin J. Gruber
Nomura Professor of Finance, New York University, USA
Topic: Pension Fund Investments and Choices: Ten Facts I have learned about 401(k) Plans
Chairperson: Cheng Few Lee, Rutgers University, USA
2:30 p.m. – 4:00 p.m.
Session VII: Foreign Exchange Markets (Room JHL 107C)
Session Chair: Fernando Alvarez, Rutgers University, USA
Liang Ding, University of North Carolina at Chapel Hill, USA
2. Covered Interest Parity and Market Volatility: Asian Evidence
Ying Huang, Lake Forest College, USA
Feng Guo, The Conference Board, USA
3. Changes in the Structure of the Currency Futures Markets: Who Trades and Where they Trade
Robert T. Daigler, Florida International University
Session VIII: Options Markets (Room JHL 107B)
Session Chair: Kesar Singh, Rutgers University, USA
1. Statistical Options-Crash Resistant Options based on Robust Location Estimators in Statistics
Kesar Singh, Rutgers University
2. When Did the Options Market in Enron Lose it’s Smirk?
Bruce Mizrach, Rutgers Universitiy and New York University
3. The Market Microstructure of Illiquid Option Markets and Interrelations with the Underlying Market
Felix Landsiedl, Center for Central European Financial Markets, University of Vienna, Austria
4. Information content of Implied Volatility for Asian Equity Indices
Maheswaran S. Institute for Financial Management and Research, India
Nitish Ranjan, Center for Advanced Financial Studies, India
Session IX: Valuation and Risk Management (Room JHL 106)
Session Chair: Emilio Venezian, Rutgers Univeristy, USA
Chen-Lung Chin, National Chengchi University, Taiwan
Picheng Phil Lee, Pace University, USA
Hsin-Yi Chi, National Central University, USA
Asokan Anandarajan, New Jersey Institute of Technology, USA
2. Do Growth Options Affect Investment Decision-Making?
Leon Clarke, Joint Global Change Research Institute, USA
Wenlong Weng, Lehigh University, USA
John Weyant, Stanford University, USA
Thomas J. Chemmanur, Boston College, USA
Elena Loutskina, Boston College, USA
4. Using Earnings-at-Risk to Assess the Risk of Indonesian Banks
Elisa R. Muresan, Long Island University, USA
Nevi Danila, Malangkucecwara School of Economics, Indonesia
Session X: Empirical Finance (Room JHL 003)
Chairperson: Leonard Goodman, Rutgers University, USA
1. Causality Detection in Financial Markets: Evolutionary Kernel-based Subset Time-Series
T.J. Brailsford, University of Queensland, Australia
T.J. O’ Neil, the Australian National University, Australia
J. Penm, the Australian National University, Australia
2. The Markovian Dynamics of “Smart Money”
J-H Steffi Yang, University of Cambridge, UK.
Rajeeva Sinha, Universitiy of Windsor, Canada
Vijay Jog, Carleton University, Canada
4. Equity Restructuring via Tracking Stocks: Is there Any Value Added?
Joseph Vu, Depaul University, USA
Session XI: Credit Risk Management (Room JHL 006)
Session Chair: Ren-Raw Chen, Rutgers University, USA
1. An Econometric Model of Credit Spreads with Rebalancing, ARCH, and Jump Effects
Herman Bierens, Pennsylvania State University, USA
Jingzhi Huang, Pennsylvania State University, USA
Weipeng Kong, Pennsylvania State University, USA
2. Explaining Credit Default Swap Spreads with Equity Volatility and Jump Risks of Individual Firms
Benjamin Yibin Zhang, Fitch Ratings, USA
Hao Zhou, Federal Reserve Board, USA
Haibin Zhu, Bank for International Settlements, USA
3. The Structural Agency Problem under Credit Risk
Hsuan-Chu Lin, Rutgers University, USA
4. The Term Structure of Credit Spreads: Theory and Evidence on Credit Default Swaps
Ren-Raw Chen, Rutgers University
Xiaolin Cheng, Rutgers University
Liuren Wu, City University of New York, USA
Session XII: Economic Indicators and Stock Market of US and Japan (Room JHL 005)
Chairperson: John Guerard, Rutgers University, USA
1. Comparing the Effectiveness of US and Japanese Leading Economic Indicators (LEI)
Victor Zarnowitz, The Conference Board, New York, USA
Dara Lee, The Conference Board
2. Comparing US and Japanese Price Momentum Strategies for Portfolio Construction
John Brush, Columbine Capital, Colorado Springs Co.,
3. Comparing the Effectiveness of US and Japanese Stock Selection Models
John Guerard and C.F. Lee, Rutgers University, USA
4. International Diversification Benefit Subject to Investment Restrictions (paper part 1) (paper part2)
Wan-Jiun Paul Chiou, Shippensburg University
Chiu-Chi Chang, Shippensburg University
Min-Ming Wen, Shippensburg University
.
4:00 p.m. – 4:15 p.m. Coffee Break
4:15 p.m. – 5:45 p.m.
Session XIII: Impacts of Outsourcing on U.S. Economy (Room JHL 107C)
Chairperson: Professor Cheng-Few Lee, Rutgers University, USA
Panelists:
1. Dr. AX Wu, Wallson Enterprises, USA
2. Rory Robinson, Rogers Corporation, USA
3. Cheng F. Lee, Rutgers University, USA
Session XIV: Corporate Finance (A) (Room JHL 107B)
Chairperson: Professor Oded Palmon, Rutgers University, USA
1. International Corporate Governance and Managerial Risk Taking: Theory and Evidence
Kose John, New York University, USA
Lubomir Litov, New York University, USA
Bernard Yeung, New York University, USA
Si Li, Duke University, USA
3. A Study of Financial Insolvency and Association of Financial Rating System for Life Insurers in Taiwan
Shu-Hua Hsiao, Leader University, Taiwan
Russell E. Yerkes, Argosy University/Sarasota, USA
Session XV: Global Trends in Hedge Funds (Room JHL 106)
Chairperson: Dr. John Longo, Rutgers University
Panelists:
1. Mitchell Eichen, The MDE Group, Inc
2. Matthew Fisher, Rockbay Capital, LLC
3. Manish Saini, Aeneas Capital Management
Session XVI: IPO (Room JHL 003)
Chairperson: N. K. Chidambaran, Rutgers University
1. Dual-Class IPOs, Share Recapitalizations, and Unifications: A Theoretical Analysis
Thomas J. Chemmanur, Boston College
Yawen Jiao, Boston College
2. Ownership Structure and IPO Valuations
Yin-Hua Yeh, Fu-Jen Catholic University
Pei-Gi Shu, Fu-Jen Catholic University
Re-Jin Guo, University of Illinois at Chicago
3. Guru Analysts’ Conflicts of Interest and IPOs Underpricing via Overvaluation
Antoine Biard, University of Paris—Dauphine, France
4. Short Interest in IPOs
N.K. Chidambaran, Rutgers Univeristy
Session XVII: Returns Predictability (Room JHL 006)
Session Chair: Alice C. Lee, San Francisco State University, USA
1. Analyst and Momentum in Emerging Markets
Hua Wen, National University of Singapore, Singapore
2. Application of Technical Trading Strategies in Indian Stock Market
Chaitanya Pampana, Indian Institute of Information Technology and Management, India
Rajendra Sahu, Indian Institute of Information Technology and Management, India
3. Trading Volume and Serial Correlation in Stock Returns in Pakistan
Mohammed Nishat, Institute of Business Administration, Pakistan
Khalid Mustafa, University of Karachi, Pakistan
4. Dividend Persistence and Return Predictability
John G. Powell, Massey University, New Zealand
Jing Shi, Australian National University, Australia
Tom Smith, Australian National University, Australia
Session XVIII: International Finance and Emerging Markets (Room JHL 005)
Session Chair: Dilip Patro, Rutgers University, USA
1. An Intertemporal Analysis of Optimal International Asset Allocation
Mitchell Ratner, Rider University, USA
2. Clearing and Settlement Mechanism for Trades in Indian Corporate Debt Market
V. Ravichandran, Securities Trading Corporation of India Limited, India
Manas Paul, Securities Trading Corporation of India Limited, India
Binayak Pal, Securities Trading Corporation of India Limited, India
3. Asian Emerging Markets and News,( Table I, Table II, Figure I, Figure II)
Tatsuyoshi Miyakoshi, Tohoku University, Japan
4. Equity Market Vs. Capital Account Liberalization: A Comparison of Growth Effects of Liberalization Policies in Developing Countries
Sonal Dhingra, Rutgers University, USA
5. Options for Developing Bond Markets – Lessons from Asian Financial Crisis
Peter Haiss, Europe Institute, Vienna University of Economics and Business Administration, Austria
Stefan Marin, Europe Institute, Vienna University of Economics and Business Administration, Austria
Session XIX: Emerging markets and Liberalization (Room JHL Dean's Conference Room)
Session Chair: Sonal Dhingra, Rutgers University, USA
Sonal Dhingra, Rutgers University, USA
2. Options for Developing Bond Markets – Lessons from Asian Financial Crisis
Peter Haiss, Europe Institute, Vienna University of Economics and Business Administration, Austria
Stefan Marin, Europe Institute, Vienna University of Economics and Business Administration, Austria
6:30 p.m. – 8:00 p.m. Dinner
8:00 a.m. – 9:00a.m. Registration and Continental Breakfast
9:00 a.m. – 9:40 a.m. Keynote Speech V, Auditorium, Livingston Student Center
Speaker: Wayne Ferson
John L. Collins Chair in Finance, Boston College
Title: Conditioning Information, Asset Pricing and Portfolio Performance.
Chairperson: Professor Cheng-Few Lee, Rutgers University, USA
9:40 a.m. – 10:20 a.m. Keynote Speech VI, Auditorium, Livingston Student Center
Speaker: Kose John
Gerstenberg Professor of Banking and Finance, NYU
Title: A Theory of Comparative Corporate Governance
Chairperson: Nemmara Chidambaran, Rutgers University
10:20 a.m. – 10:35 a.m. Coffee Break
10:35 a.m. – 12:00pm International Management Education
Auditorium, Livingston Student Center
Chairperson: Dean H. Tuckman, Rutgers University, USA
Panelists:
1. Marty Markowitz, Rutgers University, USA
2. James Bicksler, Rutgers University, USA
3. H. Tuckman, Rutgers University, USA
Nevi Danila, President, STIE Malangkucecwara School of Economics
Elisa R. Muresan, Long Island University, USA
12:00p.m. – 1:20p.m. Lunch
1:30p.m. – 3:00 p.m.
Session XIX: Corporate Finance (B) (Room JHL 107)
Chairperson: Darius Palia, Rutgers University
1. Collateral Constraints, Debt Management and Investment Incentives
Elettra Agliardi, University of Bologna
Rainer Andergassen, University of Bologna
David Wang, Hsuan Chuang University, Taiwan
3. The Valuation of Internal Technology by Real Option Analysis
So-de Shyu, National Sun Yat-sen University, Taiwan
Kou-jung Lee, National Sun Yat-sen University, Taiwan
4. Implications of firm experiential knowledge and sequential investment on Japanese subsdiaries’ performance in Brazil
Mario Henrique Ogasavara, University of Tsukuba, Japan
Yasuo Hoshino, University off Tsukuba, Japan
5. Does Valuation Method Affect Valuation Outcome? Evidence from Judicial Opinions
Feng Chen, Columbia Business School, USA
Kenton K. Yee, Columbia Business School, USA
Yong Keun Yoo, Singapore Management University, Singapore
Session XX: Interest Rate Models (Room JHL 221)
Session chair: Feng Zhao, Fordham University, USA
1. Cointegration and the Term Structure of Malaysia Interest Rates
Wan Mansor Wan Mahmood, Universititi Teknologi MARA, Malaysia
Norhayati Ayu Bt. Abdul Mubin, Universititi Teknologi MARA, Malaysia
2. Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture It?
Robert Jarrow, Cornell University, USA
Haitao Li, Cornell University, USA
Feng Zhao, Fordham University, USA
3. Determining the Practical Dimension of an Interest Rate Model
Joel R. Barber, Florida International University
Mark L. Copper, Titan Open Source Interface Company
Session XXI: Financial Accounting (A) (Room JHL 106)
Session Chair: Elizabeth Gordon, Rutgers University
1. The Determinants of Transitional Method to Adopt Fair Value Accounting for Employee Stock Options
Flora F. Niu, Wilfrid Laurier University
2. Comparison of Abnormal Accrual Estimation Procedures in the Context of Investor Mispricing
C.S. Agnes Cheng, University of Houston, Securities and Exchange Commission, USA
Wayne Thomas, University of Oklahoma, USA
Liandong Zhang, Nanyang Technological University, Singapore
4. A Further Investigation on the Bankruptcy Probability of Firms with Unhealthy Z-score
Lili Sun, Rutgers University, USA
Michasel Ettredge, University of Kansas, USA
Rajendra P. Srivastava, University of Kansas, USA
1:30p.m. – 3:00 p.m.
Session XXII: Credit Risk Management (Room JHL 107B)
Session Chair: Louis Scott, Morgan Stanley Dean Witter.
Panelists:
1. David Li, Barclay capital
2. Liuren Wu, City University of New York
3. Peter Carr, Bloomberg Corp.
4. Dajiang Guo, Citi Group
Session XXIII: International Accounting (Room JHL 105)
Chairperson: Bikki Jaggi, Rutgers University, USA
1. Transparency, Disclosures, and Access to Capital in Emerging Markets
Carol Ann Frost, State University of New York at Buffalo, USA
Elizabeth A. Gordon, Rutgers University, USA
Grace Pownall, Emory University, USA
2. Earnings Forecast Disclosure Regulation and Earnings Management: Evidence from Taiwan IPO firms
Bikki Jaggi, Rutgers University, USA
Chen-lung Chin, National Cheng Chi University, Taiwan
Hsiou-wei William Lin, National Taiwan University, Taiwan
Picheng Lee, Pace University, USA
Chunyan Li, Pace University, USA
Bikki Jaggi, Rutgers University, USA
4. Investment Efficiency of IPO-fund and Its Influence on the Cost of the Following Equity Financing
Shuang Xue, Shanghai University of Finance and Economics, China
Jing Yang, Shanghai University of Finance and Economics, China
Session XXIV: Asian Financial Market (Room JHL 102)
Session chair: Yan He, Indiana University Southeast, USA
Wissem Ajili, University of Paris Dauphine, France
2. Asymmetric Causal Relationship between Stock Price and Exchange Rate in Taiwan—Threshold ECM Analysis
Chien-Chung Nieh, Tamkang University, Taiwan
Wen-Chien Liu, Tamkang University, Taiwan
Chun-Chi Fang, Tamkang University, Taiwan
3. Is Stock Price Rounded for Economic Reasons in the Chinese Markets?
Yan He, Indiana University Southeast, USA
Chunchi Wu, Syracuse University, USA
3. The Money Market Sensitivity on Stock Market Returns
Wan Mansor Wan Mahmood, Universititi Teknologi MARA, Malaysia
Norhayati Ayu Bt. Abdul Mubin, Universititi Teknologi MARA, Malaysia
3:00 p.m. – 3:30p.m. Coffee Break
3:30 p.m. – 5:00 p.m.
Session XXV: Credit Risk (Room JHL 107C)
Session Chair: Jingzhi Huang, Pennsylvania State University, USA
1. Pricing Large Credit Portfolios with Fourier Inversion
Ren Raw Chen, Rutgers University, USA
2. Scope for Credit Risk Diversification
Til Schuermann, New York Federal Reserve, USA
Samuel Hanson, New York Federal Reserve, USA
M. Hashem Pesaran, University of Cambridge, UK
3. A No-Arbitrage Analysis of Economic Determinants of Credit Spread Term Structure
Liuren Wu, State University of New York-Baruch College, USA
Frank Zhang, Federal Reserve Board, New York, USA
4. Developing and Validating Credit Scoring Model for Taiwan’s Enterprises
Edward Chang, JCIC, Taiwan
Session XXVI: Banking Management and Monetary Policy (Room JHL 221)
Session chair: Chien-Chung Nieh, Tamkang University, Taiwan
1. Scale Efficiency Case of the Tunisian Banking System
Smia Houcine.
Chien-Chung Nieh, Tamkang University, Taiwan
Chu-Chun Wang, Tamkang University, Taiwan
Fang-Wen Yeh, Tamkang University, Taiwan
3. Financial Deregulation and Crisis: An “Agency-conflict” Case of Japan
Monzur Hossain, National Graduate Institute for Policy Studies, Japan
4. Banking Industry Concentration, Bank Risk Taking and Loan Pricing: An Empirical Investigation
Piu Banerjee, Rutgers University, USA
Session XXVII: Asian Stock Market and Corporate Finance (Room JHL 106)
Session Chair: Jack Penm, The Australian National University, Australia
1. Nonlinear Market Model with Endogenou Threshold to Estimate Bull and Bear Betas
Chien-Chung Nieh, Tamkang University, Taiwan
Chih-Hsiang Lee, Tamkang University, Taiwan
Chia-Fen Yu, Tamkang University, Taiwan
2. Solving the Risks and Returns Puzzle in China
Priscilla Z. Liang, California State Polytechnic University, USA
James E. Swartz, California State Polytechnic University, USA
3. Does the Switch from OTC to the Exchange Alleviate a Firm’s Extent of Financial Constraints—A Case of Taiwan Stock Market
Chau-Chen Yang, National Taiwan University, Taiwan
Cheng Few Lee, Rutgers University, USA
Yanxiang Gu, State University of New York, Geneseo, USA
Yu-Jiun Chen, National Taiwan University, Taiwan
4. Effects of Macro and Micro Economic Conditions on Optimal Capital Structure: Theory and Evidence
Szu-Lang Liao, National Chengchi University, Taiwan
Hsing-Hua Huang, National Chengchi University, Taiwan
Session XXVIII: Financial Econometrics (Room JHL 107B)
Session chair: Kenneth D. Lawrence, New Jersey Institute of Technology, USA
1. Improved Performance Evaluation of Comparable Units with Data Envelopment Analysis (DEA)
Ronald Klimberg, Saint Joseph’s University, USA
Shelia M. Lawrence, Rutgers University, USA
Kenneth D. Lawrence, New Jersey Institute of Technology, USA
2. The Autoregressive Conditional Duration Model under Price and Duration Momenta
Min-Hsien Chiang, National Cheng Kung University, Taiwan
3. A Note on Correct Duration- Convexity Hedges using Treasury Futures
Joseph Kang, Nanyang Technological University, Singapore
Baochen Yang, Tianjin University, China
4. Cross-Country Variantion of Stock Price Performance
Wan-Jiun Paul Chiou, Shippensburg University
Cheng-Few Lee, Rutgers University
Session XXIX: International Corporate Governance (Room JHL 006)
Session chair: Jim Bicksler, Rutgers Univeristy, USA
1. Corporate Governance and Firm Valuations: Evidence from Hong Kong
Adrien Cheuk Hung Lei, University of Hong Kong , China
Frank M. Song, University of Hong Kong, China
2. Ownership Structure and Corporate Performance: Australian Evidence
Julian Fishman, Deakin University, Australia
Gerard Gannon, Deakin University, Australia
Russell Vinning, Deakin University, Australia
3. Does Board of Directors Connectedness Contribute to Firm Financial Success?
Paul Beckham, San Francisco State University, USA
Ping Hsiao, San Francisco State University, USA
Ching-Lung Chen, Chaoyang University of Technology, Taiwan
Fu-Hsing Chang, National Yunlin University of Science & Technology, Taiwan
Gili Yen, Chaoyang University of Technology, Taiwan
Session XXX: Executive Compensation (Room JHL 102)
Session chair: Jerry T. Yang, National Tsing Hua, University, Taiwan
Chung-Jen Fu, National Yunlin University of Science and Technology, Taiwan
Fu-Hsing Chang, National Yunlin University of Science and Technology, Taiwan
Mei-Lun Lin, Tainan Woman’s College of Arts and Technology, Taiwan
2. Performance Measures, Discretionary Accruals, and CEO Cash Compensation
Simon S.M. Yang, Adelphi University, USA
Jennifer Yin, Rutgers University-Camden, USA
3. Rescission of Executive Stock Options: Theory and Evidence
Jerry T. Yang, National Tsing Hua University, Taiwan
Willard T. Carleton, University of Arizona, USA
4. Equity Compensation Incentives and Restructuring Decisions
David Adut, American University, USA
William Cready, Louisiana State University, USA
Thomas J. Lopez, University of South Carolina, USA
Thirteenth Annual Conference on Pacific Basin Finance Economics and Accounting
Name: __________________________________________
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REGISTRATION FEE:
Academic $100
Non-Academic $200
The special conference rate for one year subscription of Review of Pacific Basin Financial Markets and Policies is $75.
Please send in your registration form with the registration fee paid to the order of Rutgers University to Professor Cheng-Few Lee at the following address:
School of Business, Rutgers University
Professor Cheng-Few Lee
Department of Finance
Piscataway, NJ 08854-8054
Tel: (732) 445-3907
Fax: (732) 445-5927
E-mail: lee@rbsmail.rutgers.edu.