The 6th NCTU International Finance Conference

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The 6th NCTU International Finance Conference
第六屆交通大學財務金融國際研討會

Conference Theme:
Corporate Finance and Risk Management
會議主題：公司理財與風險管理

時間(Date)：102年1月11日（星期五）8：30 AM --17：40 PM
(8：30 AM ~17：40 PM, Friday, January 11, 2013)

地點(Location)：國立交通大學光復校區管理一館
(Management Building 1, National Chiao Tung University, Kuang-Fu Campus)

Program Director:
Cheng-Few Lee, Foundation of Pacific Basin Financial Research and Development, Taiwan and Rutgers University, USA

Program Co-Director:
Wen-Liang Hsieh, National Chiao Tung University, Taiwan

主辦單位(Conference Organizers)：
Institute of Finance, National Chiao Tung University, Taiwan國立交通大學財務金融研究所
 Foundation of Pacific Basin Financial Research and Development, Taiwan 財團法人亞太金融研究發展基金會
 Rutgers University, USA羅格斯大學

合辦單位(Conference Co-Organizers)：
Executive Master of Business Administration (EMBA), National Chiao Tung University, Taiwan 國立交通大學EMBA
Department of Finance, National Central University, Taiwan 國立中央大學財務金融學系
 Financial Engineering Association of Taiwan (FeAT), Taiwan 社團法人臺灣財務工程學會
 Kainan University, Taiwan 開南大學

贊助單位(Sponsors)：
Taiwan Stock Exchange Corporation (TWSE), Taiwan 臺灣證券交易所
 Wintek Corporation, Taiwan 勝華科技股份有限公司
 Taiwan Securities Association, Taiwan 中華民國證券商業同業公會
 SCSB Educational Foundation Development, Taiwan 財團法人上海商業儲蓄銀行文教基金會
 Yuanta Financial Holding Co., Ltd and Yuanta Cultural & Educational Foundation (Yuanta Foundation), Taiwan 元大金融控股股份有限公司暨財團法人元大文教基金會
 China Development Financial Holding Corporation 中華開發金控
 GreTai Securities Market 證券櫃檯買賣中心

9:10~9:50
專題演講(1) Keynote Speech (1)
Chairperson: Cheng-Few Lee, Foundation of Pacific Basin Financial Research and Development, Taiwan and Rutgers University, USA
Speaker: Ching Chang Yen, Yuanta Financial Holdings, Taiwan (顏慶章董事長元大金控)
Title: What Lessons Taiwan Can Learn from the European Debt Crisis (歐債危機對臺灣的啟示)

9:50~10:30
專題演講(2) Keynote Speech (2)
Chairperson: Wen-Liang Hsieh, National Chiao Tung University, Taiwan
Speaker: Sheng-Syan Chen, National Taiwan University, Taiwan (陳聖賢教授國立臺灣大學)
Title: Some Recent Trends in Empirical Corporate Finance Research

10:30~10:45 休息Tea Break

10:45~12:25
Panel Session I. 2013年臺灣採用IFRS後的焦點議題
Chairperson: Rebecca Chung Fern Wu, Professor of Accounting and Director of Financial Econmic Intelligence and Regulation Research Center, National Taiwan University, Taiwan (Pre-commissioner, Financial Superviosry Commssion) (吳琮璠教授臺灣大學會計系曁財經智慧法規研究中心主任(前首任金管會委員))
Panelists：
1. Mei-Hwa Lin, Department of Accounting, National Chengchi University, Taiwan (林美花教授國立政治大學會計學系)
2. Yi Hsin Wang, Vice President, and Professor of Department of Accountancy, National Taipei University, Taiwan (王怡心副校長臺北大學會計系教授暨國際會計準則翻譯覆審委員會)
3. Chen Shan Chang, Director, Accounting and Auditing Supervision Division, Securities and Futures Bureau, Financial Supervisory Commission, Taiwan (張振山組長金融監督管理委員會證券期貨局)
4. Joseph Chou, PricewaterhouseCoopers(PwC), Taiwan (周建宏會計師資誠聯合會計師事務所審計部營運長)

10:45~12:25
Academic Session I. Microstructure
Chairperson: Quentin C. Chu, University of Memphis, USA
1. Trades by Investors and Commonalities in Liquidity and Order Imbalances: Evidence from an Emerging Market
Chaoshin Chiao, National Dong Hwa University, Taiwan
Zi-May Wang, Ming Chuan University, Taiwan
Han-Lin Chen, Ming Chuan University, Taiwan

2. High Frequency Trading, Liquidity, and Execution Cost
Edward W. Sun, BEM Management School Bordeaux, France & School of Economics and Business Engineering, KIT, Germany
Timm Kruse, School of Mathematics, KIT, Germany
Min-Teh Yu, National Chiao Tung University, Taiwan

3. Do Settlement Procedures Matter? Revisit Expiration-Day Effects
Emily Lin, St. John’s University, Taiwan

4. Modeling the Liquidity Risk under Information Asymmetry
Te-Chien Lo, National Dong Hwa University, Taiwan

10:45~12:25
Academic Session II. Corporate Finance (A)
Chairperson: Hai-Chin Yu, Chung Yuan Christian University, Taiwan
1. Corporate Hedging and The Cost of Debt
Jun Chen, University of North Carolina at Charlotte, USA
Tao-Hsien Dolly King, University of North Carolina at Charlotte, USA

2. Compensation gaps among top executives: the role of the peer groups
Chi-Hung Chang, National Chiao Tung University, Taiwan
Min-Teh Yu, National Chiao Tung University, Taiwan

3. Pricing Guaranteed Minimum Withdrawal Benefits with Various Provisions under a Stochastic Interest Rate Environment
Tian-Shyr Dai, National Chiao Tung University, Taiwan
Sharon S. Yang, National Central University, Taiwan

4. R&D Spillover Effects and Firm Performance Following R&D Increases
Sheng-Syan Chen, National Taiwan University, Taiwan
Yan-Shing Chen, National Yunlin University of Science and Technology, Taiwan
Woan-lih Liang, Yuan Ze University, Taiwan
Yanzhi Wang, National Taiwan University, Taiwan

12:25~13:15 午餐Lunch Time

13:15~14:55
Panel Session II. 兩岸金融與台灣金融業的大未來
Chairperson: Yin-Hua Yeh, National Chiao Tung University, Taiwan (葉銀華教授交大財金所)
Panelists：
1. Alan Wang, Chairman & CEO of China Life Insurance Company., Ltd., Taiwan (王銘陽董事長中國人壽保險股份有限公司)
Topic: The future development of Cross-strait life insurance industry (兩岸壽險業未來發展)
2. Nan-Chou Joseph Huang, President, E.SUN Financial Holding Co., Ltd., Taiwan (黃男州總經理玉山金控)
Topic: The development of cross-strait banking and cash flow business (兩岸銀行與金流業務之發展)
3. Mark Wei, Chairman, KGI Securities Co., Ltd., Taiwan (魏寶生董事長凱基證券)
Topic: OSU (Offshore Securities Unit) and cross-strait securities development (離境證券業務（OSU）與兩岸證券發展)

Academic Session III. Risk Management
Chairperson: Chuang-Chang Chang, National Central University, Taiwan
1. Forgive yet Penalize Your Debtor: A Default Threshold Model of Sovereign Debt
David S. Sun, Kainan University, Taiwan
Da Ching Chow, Yuan Ze University, Taiwan

2. Forecasting Forward Defaults More Accurately: A Simple Hazard Model with Competing Risks
Ruey-Ching Hwang, National Dong Hwa University, Taiwan

3. Using Alternative Models and a Combining Technique in Credit Rating Forecasting — an Empirical Study
Cheng-Few Lee, Rutgers University, USA
Keh-luh Wang, National Chiao-Tung University, Taiwan
Yating Yang, National Chiao-Tung University, Taiwan
Chan-Chien Lien, E.SUN Commercial Bank, Taiwan

4. Instantaneous Volatility Estimation by Nonparametric Fourier Transform Methods
Chuan-Hsiang Han, National Tsing-Hua University, Taiwan

Academic Session IV. Corporate Finance (B)
Chairperson: Chin-Chen Chien, National Cheng-Kung University, Taiwan
1. An Integrated Model for the Cost-Minimizing Funding of Corporate Activities over Time
Manak C. Gupta, Temple University, USA
Hong-Yi Chen, National Central University, Taiwan
Alice C. Lee, State Street Corp., USA

2. Benefits and Costs of Asset Reallocation in Mergers and Acquisitions
Wei-Hsien Li, National Central University, Taiwan

3. Are Multiple Directorships Beneficial in East Asia?
Kin-Wai Lee, Nanyang Technological University, Singapore
Cheng-few Lee, Rutgers University, USA

4. Is Earnings Management an Efficient Tool to Reduce the Diversification Discount?
Sue-Fung Wang, National Chiao Tung University, Taiwan
Yi-Cheng Shih, National Taipei University, Taiwan
Ya-Han Hsu, National Chiao Tung University, Taiwan

14:55~15:10 休息Tea Break

15:10~16:50

Academic Session V. Investment
Chairperson: Hsuan-Chu Lin, National Cheng-Kung University, Taiwan
1. Relationship between Stock Return Volatility and Informed Trading Activity
Alex YiHou Huang, Yuan Ze University, Taiwan
Ching-Liang Chang, Yuan Ze University, Taiwan

2. Product Market Competition and Earnings Management around Open-market Repurchase Announcements
Wen-Chun Lin, National Taipei College of Business, Taiwan
Tsai-Ling Liao, National Formosa University, Taiwan

3. Asymptotic Distribution of Sharpe Ratio under Weakly Stationary Portfolio Returns
Lie-Jane Kao, KaiNan University, Taiwan
Cheng-Few Lee, Rutgers University, USA

4. The Information Content of the Limit Order Book and the Corresponding Trading Strategy
William T. Lin, Tamkang University, Taiwan and The Center for Research of Private Economy, Zhejiang University, China
Shih-Chuan Tsai, Taiwan Normal University, Taiwan
Zhenlong Zheng, Xiamen University, China
Pei-Yau Lung, Tamkang University, Taiwan

Academic Session VI. Banking Management and Economic policy
Chairperson: Chung-Hua Shen, National Taiwan University, Taiwan
1. Can Federal Reserve Policy Deviation Explain Response Patterns of Financial Markets Over Time?
Kent Wang, WISE, Xiamen University, China
Shin-Huei Wang, CORE, Universite Catholique de Louvain, Belgium

2. Are Bank Capital Buffers Cyclical? Evidence from Developed and Developing Countries
Yi-Kai Chen, National University of Kaohsiung, Taiwan
Amy Yueh-Fang Ho, Providence University, Taiwan
Ching-Lan Hsu, National University of Kaohsiung, Taiwan

3. The Impact of State Policies on the Relation between Ownership and Firm Value: Evidence from Chinese Listed Firms
Li Cheng, Providence University, Taiwan
Yenn-Ru Chen, National Cheng Kung University, Taiwan
Jeng-Ren Chiou, National Cheng Kung University, Taiwan
Cheng-few Lee, Rutgers University, USA

4. Post-Merger Risk and Long-term Performance: The Role of Ownership Stake in Banking Merger Activities
Yin-Hua Yeh, National Chiao Tung University, Taiwan
Huimin Chung, National Chiao Tung University, Taiwan
Chih-Liang Liu, National Yunlin University of Science and Technology, Taiwan

Academic Session VII. Corporate Finance (C)
Chairperson: Chiuling Lu, National Taiwan University, Taiwan
1. Tournament Incentives and Firm Innovation
Carl Hsin-han Shen, National Central University, Taiwan
Hao Zhang, Rochester Institute of Technology, USA

2. Growth Options and Managerial Compensation over the Business Cycle
Hsing-Hua Huang, National Chiao Tung University, Taiwan
Wei-liang Chuang, National Chiao Tung University, Taiwan

3. Criminalizing Employee Negligence
Jiong Gong, University of International Business and Economics, China
R. Preston McAfee, Yahoo! Research, USA
Michael A. Williams, Competition Economics LLC, USA

4. The Role of Heterogeneous Expectations in Forward Exchange Market
Xiaoping Li, Shanghai Lixin University of Commerce, China
Chunyang Zhou, Shanghai Jiao Tong University, China
Chongfeng Wu, Shanghai Jiao Tong University, China

17:00~17:40 專題演講(3) Keynote Speech (3)
Chairperson: Sharon S. Yang, National Central University, Taiwan
Speaker: Cheng-Few Lee, Rutgers University, USA
Title: Dividend Policy and Dividend Payment Behavior: Theory and Evidence