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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