第四屆交通大學財務金融國際研討會
The 4^th NCTU International Finance Conference 

會議主題：投資分析、風險管理與數理財務

Conference Theme: Investment Analysis, Risk Management and Mathematical Finance

 

時間(Date)：100年1月7日（星期五）8：30 AM --17：40 PM
            (8：30 AM ~17：40 PM, Friday, January 7, 2011)

地點(Location)：國立交通大學管理一館

(Management Building 1, National Chiao Tung University)

Program Director:

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

Program Co-Director:

Kehluh Wang, National Chiao Tung University, Taiwan

主辦單位(Conference Organizers)：

National Chiao Tung University國立交通大學財務金融研究所

Foundation of Pacific Basin Financial Research and Development 財團法人亞太金融研究發展基金會

Rutgers University羅格斯大學

合辦單位(Conference Co-Organizers)：

National Central University 國立中央大學

Kainan University 開南大學

贊助單位(Sponsors)：

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

Wintek Corporation 勝華科技

Taiwan Futures Exchange 臺灣期貨交易所

GreTai Securities Market 財團法人證券櫃檯買賣中心

Polaris Financial Group 寶來金融集團

Center of Mathematical Modeling and Scientific Computing, National Chiao Tung University (CMMSC, NCTU) 國立交通大學數學建模與科學計算研究中心

 

主辦單位聯絡電話(TEL)：(03)5712121 Ext. 57080

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

The 4th NCTU International Finance Conference

~∙~ Program ~∙~

8:30~9:00        報到 Registration                                   (M-B10)

9:00~9:10        院長致辭 Welcome Remark                  (M-B10)

9:10~9:50        專題演講(1)  Keynote Speech (1)          (M-B10)

Chairperson: Cheng-Few Lee, Rutgers University

Title: The development of Taiwan capital market in the post-ECFA era (後ECFA時代台灣的資本市場發展)

Speaker: Dr. Min-Juh Hwang, Chairman of Taiwan Securities Association (證券商業同業公會黃敏助理事長)

9:50~10:30    專題演講(2)  Keynote Speech (2)            (M-B10)

Chairperson: Kehluh Wang, National Chiao Tung University

Title: The Dynamics of Implied Correletions of Basket Options

Speaker: Prof. Wolfgang Hardle, Humboldt University, Germany

10:30~10:45   休息Tea Break

10:45~12:25    Session I、II、III

Session I.    Investment Analysis and Banking Management  (M115)

Chairperson: Huimin Chung, National Chiao Tung University

1.   Bidders’ Strategic Timing of Acquisition Announcements and the Effects of Payment Method on Target Returns and Competing Bids

Sheng-Syan Chen, National Taiwan University

Robin K. Chou, National Chengchi University

Yun-Chi Lee, National Central University

2.   Intraday liquidity provision by informed versus uninformed traders in limit order market: Evidence from Taiwan future market

George H.K. Wang, George Mason University

Junmao Chiu, National Chiao Tung University

Huimin Chung, National Chiao Tung University

3.   The Long-Run Intra-Industry Spillover Effect Following R&D Increases

Sheng-Syan Chen, National Taiwan University

Weifeng Hung, Feng Chia Universty

Yanzhi Wang, Yuan Ze University

4.   Multiple Banking Relationships, Multiple Large Shareholders, and Corporate Risk Taking: Evidence from China’s Listed Firms

Hai-Chin YU, Chung Yuan University

5.   Beyond Friendly Mergers-the case of REITs

Chiuling Lu, National Taiwan University

Tzujui Mao, Yuan Ze University

Yangpin Shen, Yuan Ze University

Session II.       Risk Management                        (M101)

Chairperson: Ming-Chung Yang, Kainan University

1.   The effects of total factor productivity risk on corporate bond yield spreads

Hsien-hsing Liao, National Taiwan University

Tsung-kang Chen, Fu Jen Catholic University

Wei-Lun Chen, Fu Jen Catholic University

2.    Evaluating Corporate Bonds with General Liability Structures and Bond Covenants under the Jump-Diffusion Process

Tian-Shyr Dai, National Chiao Tung University

Chuan-Ju Wang, National Taiwan University

Yuh-Dauh Lyuu, National Taiwan University

3.   Risk-neutral Model for Credit Migration Conditioned on Macroeconomic Fluctuations

Kehluh Wang, National Chiao Tung University

Meng-Jou Lu, National Chiao Tung University

Wei-Te Lin, National Chiao Tung University

4.   Influence of Issuer Default Risk on Basket Default Swap Rates

Po-Cheng Wu, Kainan University

Lie-Jane Kao, Kainan University

5.   Hedging Performance and Volatility Risk in Option Markets

Chuan-Hsiang Han, National Tsing-Hua University

Session III.      Mathematical Finance (A)                 (M102)

Chairperson: Yuan-chung Sheu, National Chiao-Tung University

1.   Financial Modeling Practice for Equity Index Options

Kevin Niu, Chinatrust Commercial Bank

2.   Two-sided optimal problem and perpetual straddle and strangle options

Yuan-chung Sheu, National Chiao-Tung University

Ming-Chi Chang, National Chiao-Tung University

3.   Discovering interactive dynamics of single stock from the volatility perspective: A case study

Shu-Chun Chen, Institute of Mathematics, Academia Sinica   

Chii-Ruey Hwang, Institute of Mathematics, Academia Sinica

Fushing Hsieh, Department of Statistics, University of California, Davis

12:25~13:15    午餐Lunch Time

13:15~14:55    Session IV、V、VI

Session IV.      Investment Analysis                      (M115)

Chairperson: Sue Fung Wang, National Chiao Tung University

1.   The Impacts of R&D Investment on Company Performance: US vs. Taiwanese Technology-Intensive Industry

I Han, National Cheng Kung University

Cheng-Min Chuang, National Taiwan University

2.   A New Approach to Market Data Calibration for Inflation-Indexed Securities

Ying-Yin Chou, National Taiwan University

Jia-Hau Guo, National Chiao Tung University

Mao-Wei Hung, National Taiwan University

3.   Verifying Information Value of Multiple Criterion Ratings using Value Lines Funds Rating as an Illustration

P. L. Yu, National Chiao Tung University

Shin-Yun Wang, National Dong Hwa University

4.   How collective bargaining with labor union may affect firms’ share repurchase decision?

Sheng-Syan Chen, National Taiwan University

Yan-Shing Chen, National Yunlin University of Science and Technology

Yanzhi Wang, Yuan Ze University

5.   Searching out of Trading Noise: A Study of Intraday Transaction Cost

William T. Lin, Tamkang University

David S. Sun, Kainan University

Shih-Chuan Tsai, National Taiwan Normal University

Session V.       Credit Rating and Investment Analysis      (M101)

Chairperson: Han-Hsing Lee, National Chiao Tung University

1.   Predicting Issuer Credit Ratings Using Generalized Estimating Equations

Ruey-Ching Hwang, National Dong Hwa University

2.   Alternative Method for Determining Industrial Bond Ratings

Lie-Jane Kao, KaiNan University

Cheng-Few Lee, Rutgers University

3.   Who has more influence on Asian Stock Markets around the Subprime Mortgage Crisis－the U.S. or China?

Chien-Chung Nieh, Tamkang University

Chao-Hsiang Yang, Tamkang University

Yu-Sheng Kao, Tamkang University

4.   Constructing Diversified Portfolios with Entropy

Jing-Rung Yu, National Chi Nan University

Wen-Yi Lee, National Chi Nan University

5.   Does the Involvement of Industry Specialist Auditors Predict the Survivability of IPOs

Chin-Chen Chien, National Cheng Kung University

Ting-Kai Chou, National Chung Cheng University

Jia-Chi Cheng, Yuan Ze University

Session VI.      Mathematical Finance (B)                 (M102)

Chairperson: Chuan-Hsiang Han, National Tsing-Hua University

1.   Exploring the Network Dynamics of the Stock Markets

Wei-Fang Niu, National University of Singapore

Henry Horng-Shing Lu, National Chiao Tung University

2.   Efficient importance sampling for estimating lower tail probabilities under Gaussian and Student's t distributions

Chuan-Hsiang Han, National Tsing-Hua University

Ching-Tang Wu, National Chiao-Tung University

3.   On HJB equations for portfolio optimization problem: some recent results

Shuenn-Jyi Sheu, National Central University

14:55~15:10    休息Tea Break

15:10~16:50    Session VII、VIII

Session VII.    Option Pricing                           (M115)

Chairperson: San-Lin Chung, National Taiwan University

1.   Static Hedging and Pricing American Exotic Options

San-Lin Chung, National Taiwan University

Pai-Ta Shih, National Taiwan University

Wei-Che Tsai, National Taiwan University

2.   Option Bounds: A Review and Comparison

Hongwei Chuang, National Taiwan University

Cheng-Few Lee, Rutgers University

Zhaodong (Ken) Zhong, Rutgers University

3.   The Study of Employee Stock Option and Exercise Decision

Li-jiun Chen, National Taiwan University

Cheng-der Fuh, National Central University, Academia Sinica and National Chiao Tung University

4.   The Valuation of Employee Reload Options with Stochastic Interest Rates

Chuang-Chang Chang, National Central University

Hsiao-Wei Ho, National Central University

Ruey-Jenn Ho, National Central University

Wei-Chi Zheng, National Central University

5.   Analytic Approximations for Generalized Asian Options

Chien-Ling Lo, National Taiwan University

Kenneth J. Palmer, National Taiwan University

Min-Teh Yu, National Taiwan University

Session VIII.   Accounting and Investment Analysis        (M101)

Chairperson: Chin-Chen Chien, National Cheng-Kung University

1.   Tradeoff Between Reputation Concerns And Economic Dependence For Auditors－Threshold Regression Approach

Cheng-Few Lee, Rutgers University

Chin-Chen Chien, National Cheng-Kung University

Hsuan-Chu Lin, National Cheng-Kung University

Yu-Cheng Lin, National Chi Nan University

Fang-Chi Lin, National Cheng-Kung University

2.   The Impact of Managerial Exercises of Financial Hedging and Earnings Management on Firm Value

Feng-Yi Chang, China University of Technology

Chin-Wen Hsin, Yuan Ze University

Shin-Rong Shiah-Hou, Yuan Ze University

3.   House Money and Investment Risk Taking

Yuan-Lin Hsu, Shih Hsin University

Edward H. Chow, National Chengchi University

4.   Government Intervention and Price Discovery in the Foreign Exchange Market

Yin-Feng Gau, National Central University

Yu-Lun Chen, National Central University

17:00~17:40    專題演講(3)  Keynote Speech (3)          (M101)

Chairperson: Chuang-Chang Chang, National Central University

Title: Financial Econometrics and Statistics and Their Application in Security Analysis and Portfolio Management

Speaker: Cheng-Few Lee, Rutgers University