The 7th NCTU International Finance Conference

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The 7th NCTU International Finance Conference
第七屆交通大學財務金融國際研討會

Conference Theme:
Risk Management and Strategies of Developing Financial Markets
會議主題：風險管理與金融市場發展之策略

時間(Date)：103年1月10日（星期五）8：30 AM --18：15 PM
(8：30 AM ~18：15 PM, Friday, January 10, 2014)

地點(Location)：國立交通大學光復校區電子與資訊研究中心1樓
(1st floor, Microelectronics and Information Systems Research Center, Kuang-Fu Campus, NCTU)

Program Co-Director:
Cheng-Few Lee, Foundation of Pacific Basin Financial Research and Development, Taiwan and Rutgers University, USA
Min-Teh Yu, National Chiao Tung University, Taiwan

主辦單位(Conference Organizers)：
Department of Information Management and Finance, National Chiao Tung University, Taiwan國立交通大學資訊管理與財務金融學系
 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

指導單位(Guidances)：
The National Science Council (NSC), Taiwan 行政院國家科學委員會

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 Quantitative Finance, National Tsing Hua University, Taiwan
國立清華大學計量財務金融系
 Kainan University, Taiwan 開南大學
 Wintek Corporation, Taiwan 勝華科技股份有限公司

贊助單位(Sponsors)：
Chang Hwa Bank, Taiwan 彰化銀行
 China Development Financial Holding Corporation中華開發金融控股股份有限公司
 Cultural & Educational Foundation, Shanghai Commercial & Savings Bank, Ltd., Taiwan 上海商業儲蓄銀行文教基金會
 Maywufa Company Ltd., Taiwan 美吾華股份有限公司
 Taiwan Depository & Clearing Corporation 臺灣集中保管結算所
 Taishin Financial Holding Co., Ltd., Taiwan 台新金控
 Tung Ho Steel Enterprise Corporation, Taiwan 東和鋼鐵企業股份有限公司
 GreTai Securities Market 證券櫃檯買賣中心
 Taiwan Futures Exchange 臺灣期貨交易所
 Weltrend Semiconductor, Inc., Taiwan 偉詮電子股份有限公司

9:25~10:15
專題演講(1) Keynote Speech (1)
Chairperson: Chun-Yen Chang, National Chiao Tung University, Taiwan
Speaker: Cheng-Few Lee, Rutgers University, USA
Title: 美台四十年學術生涯之經驗、感想及啟示

10:15~11:10
專題演講(2) Keynote Speech (2)
Chairperson: Sheng-Syan Chen, National Taiwan University
Speaker: K.C. John Wei, The Hong Kong University of Science & Technology, Hong Kong
Title: The Real Effect of the Initial Enforcement of Insider Trading Laws

11:10~11:25 休息Tea Break

11:25~13:00
Panel Session I. 銀行風險管理
Chairperson: Min-Teh Yu, National Chiao Tung University, Taiwan(俞明德教授交大財金所)

Panelists：
1.Sheng-Cheng Hu, Institute of Economics, Academia Sinica, Taiwan; Former Chairperson of Financial Supervisory and Former Chairperson of Council for Economic Planning and Development Commission, Taiwan (胡勝正院士中央研究院、前金管會及經建會主委)
2.Yung-Kang Ching, Risk Management Department, China Development Industrial Bank, Taiwan(敬永康協理中華開發工業銀行風險管理部)
3. Yehning Chen, Chairperson, Department of Finance, National Taiwan University, Taiwan (陳業寧教授台大財金系系主任)
4. Chien-Hua Huang , President, Business Group, Apex International Financial Engineering Research & Technology Co Ltd. , Taiwan (黃建華總經理寶碩財務科技有限公司金融系統事業群)

Academic Session I. Corporate Finance and Real Estate
Chairperson: Chiuling Lu, National Taiwan University, Taiwan
1. Passive Blockholders and Corporate Governance
    Kee H. Chung, State University of New York at Buffalo, USA
    Choonsik Lee, Quinnipiac University, USA
    Carl Hsin-han Shen, National Central University, Taiwan

2. Does Population Aging Affect Real House Prices? Evidence from Eight Asian Economies
    Chiuling Lu, National Taiwan University, Taiwan
    Cheng-Lun Shih, National Taiwan University, Taiwan

3. Examining Expensing Employee Compensation Policy:Theory and Evidence
    Ren-Raw Chen, Fordham University, USA
    Ting-Kai Chou, National Chung Cheng University, Taiwan
    Hsuan-Chu Lin, National Cheng Kung University
    Michael Long, Rutgers University, USA

4. Does Corporate Governance Curb Managers' Opportunistic Behavior of Exploiting Inside   Information for Early Exercise of Executive Stock Options?
   Chin-Chen Chien, National Cheng Kung University, Taiwan
    Cheng-Few Lee, Rutgers University, USA
    She-Chih Chiu, National Cheng Kung University, Taiwan

5. Current vs. Permanent Earnings for Estimating Alternative Dividend Payment Behavioral Model: Theory, Methods and Applications
    Cheng Few Lee, Rutgers University, USA
    Hong-Yi Chen, National Central University, Taiwan
    Alice Lee, State Street, USA
    Tzu Tai, Rutgers University, USA

Academic Session II. Micro Structure
Chairperson: Yin-Feng Gau, National Central University, Taiwan
1. The Informational Role of Order Flow in Foreign Currency Futures and Spot Markets
    Yu-Lun Chen, Chung Yuan Christian University, Taiwan
     Yin-Feng Gau, National Central University, Taiwan

2. Order Cancelations across Investor Groups: Evidence from an Emerging
Order-Driven Market
    Chaoshin Chiao, National Dong Hwa University, Taiwan
    Zi-Mei Wang, Ming Chuan University, Taiwan
    Shiau-Yuan Tong, Ming Chuan University, Taiwan

3. The Effects of Market Maturity and Informed Trading on Cash-Futures Basis
    Emily Lin, St. John's University, Taiwan
     Charles Chang, Chinese University of Hong Kong, Hong Kong

4. The Sources of Commonality in Liquidity: New Evidence from the Taiwan Stock Markets
    Wen-Liang Hsieh, National Chiao Tung University, Taiwan
    Yuan-Yi Lin, St. John's University, Taiwan

Academic Session III. Credit Risk and Risk Management
Chairperson: Chuang-Chang Chang, National Central University, Taiwan
1. Is the S&P Rating a Good Credit Risk Proxy? A Stochastic Frontier Approach
    Jhao-Siang Siao, National Dong Hwa University, Taiwan
    Ruey-Ching Hwang, National Dong Hwa University, Taiwan
    Chih-Kang Chu, National Dong Hwa University, Taiwan

2. Bankruptcy Probabilities Inferred from Option Prices
    Stephen J. Taylor, Lancaster University, UK
    Chi-Feng Tzeng, National Tsing Hua University, Taiwan
    Martin Widdicks, University of Illinois at Urbana-Champaign, USA

3. The Capital Structure of a Firm with a Generalized Interest Rate Process
    Chuang-Chang Chang, National Central University, Taiwan
    Jun-Biao Lin, National Kaohsiung First University of Science and Technology, Taiwan
    Chun-Chieh Yang, Taipei Fubon Bank, Taiwan

4. Industry Characteristics and Financial Risk Spillovers
    Wan-Chien Chiu, Universidad Carlos III de Madrid, Spain
     Juan Ignacio Peña, Universidad Carlos III de Madrid, Spain
     Chih-Wei Wang, Universidad Carlos III de Madrid, Spain

5. Earnings Management Surrounding Forced CEO Turnover: Evidence from the Property-Casualty Insurance Industry
Jiang Cheng, Shanghai University of Finance and Economics, China
Tzuting Lin, National Taiwan University, Taiwan

13:00~14:00 午餐Lunch Time

14:00~14:45
專題演講(3) Keynote Speech (3)
Chairperson: Min-Teh Yu, National Chiao Tung University, Taiwan
Speaker: Joshua Ronen, New York University, USA
Title: Did the "Fair Values" Required under GAAP and IFRS Deepen the Recent Financial Crisis?

14:50~16:25
Panel Session II. 兩岸服貿協議對金融市場之影響
Chairperson: Rong-I Wu, President, Taiwan Brain Trust; Former Vice Premier, Executive Yuan, Taiwan
(吳榮義董事長新台灣國策智庫,前行政院副院長)

Panelists：
1. Sheng-Cheng Hu, Institute of Economics, Academia Sinica, Taiwan; Former Chairperson of Financial Supervisory Commission and Former Chairperson of Council for Economic Planning and Development, Taiwan (胡勝正院士中央研究院、前金管會及經建會主委)
2. Cheng-Mount Cheng, President, Taiwan Academy of Banking and Finance, Taiwan (鄭貞茂院長台灣金融研訓院)
3. Show-Ling Jang, Chairperson, Department of Economics, National Taiwan University, Taiwan (鄭秀玲主任台大經濟系系主任)

Academic Session IV. Corporate Finance
Chairperson: Han-Hsing Lee, National Chiao Tung University, Taiwan
1. The Information Content of R&D Reductions
    Konan Chan, National Chengchi University, Taiwan
     Yueh- hsiang Lin, National Taipei College of Business, Taiwan
     Yanzhi Wang, National Taiwan University, Taiwan

2. Strategic Choice of Payment Methods in Corporate Acquisitions: from the Perspective of Collective Bargaining with Unionized Workers
    I-Ju Chen, Yuan Ze University, Taiwan
     Sheng-Syan Chen, National Taiwan University, Taiwan
     Yan-Shing Chen, National Taiwan University, Taiwan

3. Why Does Bad News Increase Volatility and Interest Rate, and Decrease Optimism, Asset Prices and Leverage?
    F. Albert Wang, University of Dayton, USA

4. The Effect of Demographic Dividend on CEO Compensation
    Sue-Fung Wang, National Chiao Tung University, Taiwan
     Yi-Cheng Shih, National Taipei University, Taiwan
     Kai-Ling Chin, National Chiao Tung University, Taiwan

Academic Session V. Financial Accounting and Auditing
Chairperson: Shih-Ti Yu, National Tsing Hua University, Taiwan
1. Income Classification Shifting and Mispricing of Core Earnings
    Elio Alfonso, Florida International University, USA
    C.S. Agnes Cheng, The Hong Kong Polytechnic University, HK

2. How Firm Size, Firm Liquidity and Recognition Policy Affect the Pricing Effect of Employee Stock Options-An Application of Self-Selection Model Controlling for Endogeneity
    Chii-Shyan Kuo, National Cheng Kung University, Taiwan
    Shih-Ti Yu, National Tsing Hua University, Taiwan

3. Accrual Quality and Audit Fees: The Role of Abnormal Audit Fees
    Fang-Chi Lin, TamKang University
     Yu-Cheng Lin, National Chi Nan University, Taiwan
     Chieh-Shuo Chen, National Changhua University of Education, Taiwan

4. A Potential Benefit of Increasing Book-Tax Conformity: Evidence from the Reduction in Audit Fees
    Nan-Ting Kuo, National Central University, Taiwan

Academic Session VI. Option Pricing
Chairperson: Huimin Chung, National Chiao Tung University, Taiwan
1. Option Pricing under Stock Market Cycles with Jump Risks in Dow Jones Industrial Average Index and S&P 500 Index
    Shih-Kuei Lin, National Chengchi University, Taiwan
     So-De Shyu, Takming University, Taiwan
     Shin-Yun Wang, National Dong Hwa University, Taiwan

2. Deviations from Put–Call Parity and Volatility Prediction: Evidence from the Taiwan Index Option Market
    Chin-Ho Chen, National Chiao Tung University, Taiwan
     Huimin Chung, National Chiao Tung University, Taiwan
     Shu-Fang Yuan, Nanhua University, Taiwan

3. Forgive, or Award, Your Debtor? A Barrier Option Approach
    David Sun, Kainan University, Taiwan
     Da Ching Chow, Yuan Ze University, Taiwan

4. Optimal Exponentially Tilted Importance Sampling for Event Simulation with Applications
     Cheng-Der Fuh, National Central University, Taiwan
      Huei-Wen Teng, National Central University, Taiwan
      Ren-Her Wang, Tamkang University, Taiwan

16:25~16:40 休息Tea Break

16:40~18:15
Panel Session III. Discussion on the Contribution of Professors Eugene Fama, Lars P. Hansen and Robert J. Shiller
Chairperson: Wen-Liang Hsieh, National Chiao Tung University, Taiwan(謝文良教授國立交通大學)

Panelists：
1. Cheng-Few Lee, Rutgers University, USA
2. Chao-Hsi Huang, Dean, College of Technology Management, National Tsing Hua University, Taiwan (黃朝熙教授國立清華大學科技管理學院院長)
3. Eric S. Lin, Department of Economics, National Tsing Hua University, Taiwan (林世昌教授國立清華大學經濟系)

Academic Session VII. Assets Pricing and Corporate
Chairperson: Keh Luh Wang, National Chiao Tung University, Taiwan
1. Does Microtherm Boosts Pharmaceutical Stock Prices?
     Chien-Chung Nieh, Tamkang University, Taiwan
     Yu-Sheng Kao, Tamkang University, Taiwan
     Hannibal Sun, Chinese Culture University, Taiwan

2. Alternative Methods to Derive Statistical Distribution of Sharpe Performance Measure: Review, Comparison, and Extension
    Lie-Jane Kao, Kainan University, Taiwan
     Cheng-Few Lee, Rutgers University, USA

3. Wavelet Based Data Mining Method for Risk Management and Portfolio Selection
     Yi-Ting Chen, National Chiao Tung University, Taiwan
      Edward W. Sun, Dedge Business School, France
      Min-Teh Yu, National Chiao Tung University, Taiwan

4. Do Venture Capital Backed Ipos Experience Better Operating Performance?
     Woan-lih Liang, National Chiao Tung University, Taiwan

5. Are Institutional Investors Prudent? Evidence from an Emerging Market
    Yu-Fen Chen, Da-Yeh University, Taiwan
     Fu-Lai Lin, Da-Yeh University, Taiwan

Academic Session VIII. Investment Analysis and Insurance
Chairperson: Che-Chun Lin, National Tsing Hua University, Taiwan
1. Pricing A Mortgage-backed Security Using First Hitting Time
     Che-Chun Lin, National Tsing Hua University, Taiwan
     Jow-Ran Chang, National Tsing Hua University, Taiwan
     Jing-Tang Tsay, National Taipei College of Business, Taiwan

2. Consistent Winners and Losers
    Hong-Yi Chen, National Central University, Taiwan
     Chai-Hsun Hsieh, Naitonal Cental University, Taiwan

3. The Stock Market Valuation of Intellectual Capital in the IT Industry
     Hung-Chao Yu, National Chengchi University, Taiwan
      Wen-Ying Wang, National Chengchi University, Taiwan
      Chingfu Chang, National Chengchi University, Taiwan