The 5th NCTU International Finance Conference 
第五屆交通大學財務金融國際研討會

 

Conference Theme:
Investment Analysis and Financial Engineering
會議主題:投資分析及財務工程

 

 

時間(Date)10116日(星期五)830 AM --1740 PM
            (8
30 AM ~17
40 PM, Friday, January 6, 2012)

 

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)

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)

Kainan University 開南大學

Executive Master of Business Administration (EMBA), National Chiao Tung University 國立交通大學EMBA

 

 

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 財團法人中華民國證券櫃檯買賣中心

 

 

 

主辦單位聯絡電話(TEL)(03)5712121 Ext. 57080 (Ms. Luo 羅小姐)

聯絡地址(Address) 300新竹市大學路1001 國立交通大學財務金融研究所


 


 
 

The 5th NCTU International Finance Conference

~∙~ Agenda ~∙~

8:30~9:00

報到 Registration

 

9:00~9:10

校長/院長致辭 Welcome Remark

(M-B10)

9:10~9:50

專題演講(1)  Keynote Speech (1)

Title: Taiwan's Competitiveness, Employment, Economic Growth and Its Future Economic Prospects (台灣競爭力、就業、經濟成長及其未來經濟展望)

Speaker: Cheng Hsiung Chiu, Chairman of Bank SinoPac, Taiwan

(M-B10)

9:50~10:30

專題演講(2)  Keynote Speech (2)

Title: On progression of credit risks and financial crises

Speaker: Ralph Cho-Jieh Chen, Mirae Asset Global Investments (Taiwan) Co., Ltd., Taiwan

(M-B10)

10:30~10:45

休息Tea Break

 

10:45~12:25

Session I. Corporate Finance

(M116)

Session II. Investment and Risk Management (A)

(M115)

12:25~13:15

午餐Lunch Time

(M102, M103)

13:15~14:55

Session III. Risk Management and Financial Econometrics

(M116)

Session IV. Investment (A)

(M115)

Session V. Investment (B)

(M101)

14:55~15:10

休息Tea Break

 

15:10~16:50

Session VI. Options, Futures, and Microstructure

(M116)

Session VII. Investment and Risk Management (B)

(M115)

17:00~17:40

專題演講(3)  Keynote Speech (3)

Title: Alternative Errors-in-Variables Models and Their Applications in Finance Research

Speaker: Cheng-Few Lee, Rutgers University, USA

(M101)


 

 

The 5th NCTU International Finance Conference

~∙~ Program ~∙~

 

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

 

9:00~9:10      校長/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, Foundation of Pacific Basin Financial Research and Development, Taiwan and Rutgers University, USA

Title: Taiwan's Competitiveness, Employment, Economic Growth and Its Future Economic Prospects(台灣競爭力、就業、經濟成長及其未來經濟展望)

Speaker: Cheng Hsiung Chiu, Chairman of Bank SinoPac, Taiwan

 

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

Chairperson: Wen-Liang Hsieh, National Chiao Tung University, Taiwan

Title: On progression of credit risks and financial crises

Speaker: Ralph Cho-Jieh Chen, Mirae Asset Global Investments (Taiwan) Co., Ltd., Taiwan

 

10:30~10:45   休息Tea Break

 

10:45~12:25    Session III

Session I.       Corporate Finance                                          (M116)

Chairperson: Sheng-Syan Chen, National Taiwan University, Taiwan

1.  Defensive Repurchases: The Managerial Entrenchment versus Shareholder Interests

Sheng-Syan Chen, National Taiwan University, Taiwan

Chia-Wei Huang, Yuan Ze University, Taiwan

 

2.  The Stock Market Valuation of R&D Expenditure and Corporate Governance

Hung-Kun Chen, Tamkang University, Taiwan

Li-Hong Hong, Yuan Ze University, Taiwan

Yanzhi Wang, Yuan Ze University, Taiwan

 

3.  The Market Value of the Tax-Timing Option: Evidence from Taxable Stock Dividends with Deferring Taxation Option

Nan-Ting Kuo, National Central University, Taiwan

Cheng-Few Lee, Rutgers University, USA

 

4.  The Effect of Optimal Capital Structure on Managerial Compensation: Straight Debt Vs. Convertible Debt

Hsing-Hua Huang, National Chiao-Tung University, Taiwan

Wei-Liang Chuang, National Chiao-Tung University, Taiwan

 

 

Session II.      Investment and Risk Management (A)          (M115)

Chairperson: Kehluh Wang, National Chiao-Tung University, Taiwan

1.  Managerial Incentives in Concurrently Managed Mutual Fund

Hsuan-Chi Chen, University of New Mexico, USA

Chin-Wen Hsin, Yuan Ze University, Taiwan

Shih Chen Hsu, Yuan Ze University, Taiwan

Christine W. Lai, National Taiwan Normal University, Taiwan

 

2.  Investigating the relationship between foreign or domestic institutional ownership and capital structure

Ming-Feng Hsu, National Chiayi University, Taiwan 

Kehluh Wang, National Chiao Tung University, Taiwan

 

3.  Institutional Trading Surrounding Share Repurchase Announcements

Weifeng Hung, Feng Chia University, Taiwan

 

4.  Value-at-Risk Estimation via Parametric Approach: Evidence from the Stock Markets

Cheng-Few Lee, Rutgers University, USA

Jung-Bin Su, China University of Science and Technology, Taiwan

 

 

12:25~13:15  午餐Lunch Time                                       (M102, M103)

 

13:15~14:55    Session IIIIVV

Session III.     Risk Management and Financial Econometrics (M116)

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

1.  Monte Carlo Calibration to Implied Volatility Surfaces

Chuan-Hsiang Han, National Tsing-Hua University, Taiwan

 

2.  An Assessment of Copula Functions in Conjunction with Factor Model Approach in Portfolio Credit Risk Management

Lie-Jane Kao, KaiNan University, Taiwan

Po-Cheng Wu, KaiNan University, Taiwan

Cheng-Few Lee, Rutgers University, USA

 

3.  Clustering standard errors in panel finance data: Evidence from bootstrapping

Win Lin Chou, City University of Hong Kong, Hong Kong

Hongwei Chuang, Academia Sinica, Taiwan

Yating Yang, National Chiao Tung University, Taiwan

 

4.  The New Causality Test, Monitoring Tests and Their applications

Shin-Huei Wang, Universite Catholique de Louvain and FUNDP, Academie Louvain, Belgium and Beijing Normal University, China

Christian Hafner, Universite Catholique de Louvain and FUNDP, Academie Louvain, Belgium

 

 

Session IV.        Investment (A)                                             (M115)

Chairperson: Hai-Chin Yu, Chung Yuan University, Taiwan

1.  The Factors to Manage Actuarial Assumptions for Pension Fair Value: Implications for IAS 19

Audrey Wen-hsin Hsu, National Taiwan University, Taiwan

Chung-Fern Wu, National Taiwan University, Taiwan

Jui-Chia Lin, National Taiwan University, Taiwan

 

2.  Expiration Day Effects and Market Manipulation: Evidence from Taiwan

Edward Hsing-Yi Chow, National Chengchi University, Taiwan

Chung-Wen Hung, Southern Taiwan University, Taiwan

Christine Shu-Hua Liu, National Chengchi University, Taiwan

Cheng-Yi Shiu, National Central University, Taiwan

 

3.  Investors’ Herd Behavior: Rational or Irrational

William T. Lin, Tamkang University, Taiwan

Shih-Chuan Tsai, National Taiwan University, Taiwan

Pei-Yau Lung, Tamkang University, Taiwan

 

 

Session V.      Investment (B)                                                 (M101)

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

1.  SFAS 123 (R), Managerial Ownership, and Non-Optimal Investment: A New Evidence

Chin-Chen Chien, National Cheng Kung University, Taiwan

Chaur-Shiuh Young, National Cheng Kung University, Taiwan

She-Chih Chiu, National Cheng Kung University, Taiwan

 

2.  Cross-Effect of Size and Diversification on Earnings Management and Tobin’s Q

Sue-Fung Wang, National Chiao Tung University, Taiwan

Chia-Hsuan Ku, National Chiao Tung University, Taiwan

 

3.  Technical, Fundamental, and Combined Information for Separating Winners from Losers

Hong-Yi Chen, National Central University, Taiwan

Cheng-Few Lee, Rutgers University, USA

Wei K. Shih, Bates White Economic Consulting, USA, Taiwan

 

4.  Evaluating Information Quality and Validity of Value Line Stock Ratings

Shin-Yun Wang, National Dong Hwa University, Taiwan

 

 

14:55~15:10  休息Tea Break

 

15:10~16:50    Session VIVII

Session VI.     Options, Futures, and Microstructure                                       (M116)

Chairperson: Chuang-Chang Chang, National Central University, Taiwan

1.  The Valuation of Quanto Derivatives Using Bivariate GARCH-Jump Models

Chuang-Chang Chang, National Central University, Taiwan

Hsiao-Wei Ho, National Central University, Taiwan

Tzu-Hsiang Liao, Ming Chuan University, Taiwan

Yaw-Huei Wang, National Taiwan University, Taiwan

 

2.  A Range-based Regime Switching Model for Futures Hedging

Hsiang-Tai Lee, National Chi Nan University, Taiwan

 

3.  Vulnerable Option Pricing: The Dual Problem

Tian-Shyr Dai, National Chiao-Tung University, Taiwan

Chun-Yuan Chiu, National Chiao-Tung University, Taiwan

 

4.  High Frequency Trading in the Equity Markets During Large-Scale Asset Purchases

Cheng Gao, Rutgers University, USA

Bruce Mizrach, Rutgers University, USA

 

 

Session VII.   Investment and Risk Management (B)      (M115)

Chairperson:  Shih-Ti Yu, National Tsing Hua University, Taiwan

1.  Stock Return Response to Competitor Bankruptcy: Perspective of Antitakeover Protection

Huimin Chung, National Chiao Tung University, Taiwan

Ying-Sui Yang, National Chiao Tung University, Taiwan

Chih-Liang Liu, National Chiao Tung University, Taiwan

 

2.  Conditional Heteroskedasticity and Dependence Structure in Crude Oil and US Dollar Markets

Chih-Chiang Wu, Yuan Ze University, Taiwan

Wei-Peng Chen, Shih Hsin University, Taiwan

 

3.  Investor Sentiment and REIT IPOs

Ann Shawing Yang, National Cheng Kung University, Taiwan

Chiuling Lu, National Taiwan University, Taiwan

 

4.  Do Macroeconomic Dynamics Affect the Firm-specific Effects on Credit Ratings?

Ruey-Ching Hwang, National Dong Hwa University, Taiwan

 

 

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

Chairperson: Chiuling Lu, National Taiwan University, Taiwan

Title: Alternative Errors-in-Variables Models and Their Applications in Finance Research

Speaker: Cheng-Few Lee, Rutgers University, USA