第三屆交通大學財務金融國際研討會
The
3rd NCTU International Finance Conference
會議主題:數量財務與投資分析
Conference Theme: Quantitative Finance and Investment Analysis
時間(Date):99年1月15日(星期五)8:30
AM --17:40 PM
(8:30
AM ~17:40
PM, Friday, January 15, 2010)
地點(Location):國立交通大學浩然圖書館地下一樓國際會議廳
(B1, International Conference Hall, Library, 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):
合辦單位(Conference Co-Organizers):
贊助單位(Sponsors):
主辦單位聯絡電話(TEL):(03)5712121 Ext. 57073
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
交通大學財務金融國際研討會時間表 |
|
8:30~9:00 |
報到 Registration |
9:00~9:10 |
校長致辭 Welcome Remark 1 |
9:10~9:20 |
院長致辭 Welcome Remark 2 |
9:20~10:00 |
專題演講(1) Keynote Speech (1) |
10:00~10:15 |
休息Tea Break |
10:15~11:45 |
Session I.
Investment Analysis (1) |
11:45~13:15 |
午餐Lunch Time |
13:15~14:55 |
Session III. Risk Management (2) Session IV. Options and Futures |
14:55~15:10 |
休息Tea Break |
15:10~16:50 |
Session V. Corporate Finance Session VI. Investment Analysis (2) |
17:00~17:40 |
專題演講(2) Keynote Speech (2) |
"Please DO NOT quote without authors permission."
研討會議程 Conference Program
8:30~9:00 報到 Registration
9:00~9:10 校長致辭 Welcome Remark 1
9:10~9:20 院長致辭 Welcome Remark 2
9:20~10:00 專題演講 Keynote Speech
Chairperson: Cheng-Few Lee, Foundation of Pacific Basin Financial Research and Development, Taiwan and Rutgers University, USA
Topic: Outlook of Taiwan’s Capital Market
Speaker: Chi Schive, Chairman of Taiwan Stock Exchange Corporation (TWSE)
10:00~10:15 休息Tea Break
10:15~11:45
Session I. Investment Analysis (1)
Chairperson: William T. Lin, Tamkang University, Taiwan
1. Convergence to market efficiency of top losers
Yong-Chen Su, National Taiwan University, Taiwan
Han-Ching Huang, Chung Yuan Christian University, Taiwan
Shih Chun-Chi, National Taiwan University, Taiwan
2. What Causes Herding: Information Cascade or Search Cost?
William T. Lin, Tamkang University, Taiwan
Shih-Chuan Tsai, Ling Tung University, Taiwan
David S. Sun, Taiwan Academy of Banking and Finance, Taiwan
3. Geometric Visualization of Dynamic Asset Allocation
Wei-Fang Niu, G5 Capital Management, Ltd. and National Chiao Tung University, Taiwan
Kehluh Wang, National Chiao Tung University, Taiwan
Jenher Jeng, G5 Capital Management, Ltd. and National Chiao Tung University, Taiwan
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
10:15~11:45
Session II. Risk Management (1)
Chairperson: Huimin Chung, National Chiao Tung University, Taiwan
Ming-Yuan Leon Li, National Cheng Kung University, Taiwan
2. An Efficient Valuation of CMS Derivatives under BGM Model
Szu-Lang Liao, National Chengchi University, Taiwan
Hung-Pin Tsai, National Chengchi University, Taiwan
Shih-Kuei Lin, National University of Kaohsiung, Taiwan
3. VaR Estimation under Stochastic Volatility Models
Chuan-Hsiang Han, National Tsing-Hua University, Taiwan
Wei-Han Liu, Tamkang University, Taiwan
4. The Role of Financial Early-warning System
Wei-Yi Lin, Takming University of Science and Technology, Taiwan
11:45~13:15 午餐Lunch Time
13:15~14:45
Session III. Risk Management (2)
Chairperson: Mingshu Hua, Takming University of Science and Technology, Taiwan
1. Valuation and Analysis of Basket Credit Linked Notes with Issuer Default Risk
Po-Cheng Wu, Kainan University, Taiwan
2. Valuing Mortgage Insurance Contracts with Counterparty Risk and Capital Forbearance
Chia-Chien Chang, National Kaohsiung University of Applied Science, Taiwan
Min-Teh Yu, Providence University, Taiwan
3. The Signaling Effects of Foreign Banking Relationships and Foreign Bank Collaterals on Firm Value
Hai-Chin Yu, Chung Yuan University,
Ben J. Sopranzetti, RutgersUniversity, USA
Cheng-Few Lee, RutgersUniversity, USA
4. Bankruptcy Prediction Based on First-Passage Models with Markovian Credit Migration
Cheng-Der Fuh, National Central University and Academia Sinica, Taiwan
Chu-Lan Kao, National Taiwan University, Taiwan
5. Alternative Statistical Distributions for Estimating Value-at-Risk: Theory and Evidence [(File1)(File2)(File3)]
Cheng-Few Lee, Rutgers University, USA
Jung-Bin Su, China University of Science and Technology, Taiwan
13:15~14:55
Session IV. Options and Futures
Chairperson: Wen-Liang Hsieh, National Chiao Tung University, Taiwan
1. Pricing Clustering in U.S. Listed Equity Options
Yi-Chen Wang, National Kaohsiung First University of Science and Technology
Yueh-Neng Lin, National Chung Hsing University, Taiwan
Shih-Kuo Yeh, National Chung Hsing University, Taiwan
2. The incremental value of a futures hedge using realized volatility
Yu-Sheng Lai, National Chiao Tung University, Taiwan
Her-Jiun Sheu, National Chi Nan University, Taiwan
Lie-Jane Kao, KaiNan University, Taiwan
Po-Cheng Wu, KaiNan University, Taiwan
Cheng-Few Lee, Rutgers University, USA
4. Regime Switching Correlation Hedging
Hsiang-Tai Lee, National Chi Nan University, Taiwan
5. The Economic Value of Volatility Timing Using a Range-based Volatility Model
Ray Yeutien Chou, Academia Sinica & National Chiao Tung University, Taiwan
Nathan Liu, Feng Chia University, Taiwan
14:55~15:10 休息Tea Break
15:10~16:50
Session V. Corporate Finance
Chairperson: Kehluh Wang, National Chiao Tung University, Taiwan
1. Realized Tax Benefit on Structural Models with Optimal Capital Structural Consideration
Tian-Shyr Dai, National Chiao Tung University, Taiwan
Wayne Lee, University of Arkansas, USA
Chuan-Ju Wang, National Taiwan University, Taiwan
2. Share Repurchases by Financially Constrained Firms
Sheng-Syan Chen, National Taiwan University, Taiwan
Yanzhi Wang, Yuan Ze University, Taiwan
3. A Study on Financial Performances of Asian Commercial Bank Mergers
Sue-Fung Wang, National Chiao Tung University, Taiwan
Yu-Chan Lin, National Chiao Tung University, Taiwan
4. Optimal Payout Ratio Under Perfect Market and Uncertainty: Theory and Empirical Evidence
Cheng-Few Lee, Rutgers University, USA
Manak C. Gupta, Temple University, USA
Hong-Yi Chen, Rutgers University, USA
Alice C. Lee, San Francisco State University, USA
5. Life-cycle and Equity-Issue Announcement Effect
Jeng-Ren Chiou, National Cheng-Kung University
Hsuan-Chu Lin, National Cheng-Kung University
Ming-Sian Ethan Syue, National Cheng-Kung University
15:10~16:50
Session VI. Investment Analysis (2)
Chairperson: Chuang-Chang Chang, National Central University, Taiwan
1. Pricing Dynamic Guaranteed Funds Under a Double Exponential Jump Diffusion Model
Chuang-Chang Chang, National Central University, Taiwan
Min-Hung Tsay, National Central University, Taiwan
2. Does Firms Going Green Pay Off in the Long-Run? The Case in Taiwan
Chin-Chen Chien, National Cheng Kung University, Taiwan
Chih-Wei Peng, Asia University, Taiwan
Ya-Yun Cheng, National Cheng Kung University, Taiwan
3. Price, Earnings, and Revenue Momentum Strategies
Hong-Yi Chen, Rutgers University, USA
Sheng-Syan Chen, National Taiwan University, Taiwan
Chin-Wen Hsin, Yuan Ze University, Taiwan
Cheng-Few Lee, Rutgers University, USA
4. Governance Mechanisms, Market Feedback, and Equity Prices
Te-Feng Chen, National Taiwan University, Taiwan
Huimin Chung, National Chiao Tung University, Taiwan
Min-Yin Lin, National Chiao Tung University, Taiwan
5. Portfolio rebalancing model with transaction costs using multiple criteria
Jing-Rung Yu, National Chi Nan University, Taiwan
Wen-Yi Lee, National Chi Nan University, Taiwan
17:00~17:40 專題演講(2) Keynote Speech(2)
Chairperson: Chuang-Chang Chang, National Central University, Taiwan
Topic: Fundamental, Technical, and Combined Information for Separating Winners from Losers
Speaker: Cheng Few Lee, Rutgers University, USA