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)99115日(星期五)830 AM --1740 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)

國立交通大學財務金融研究所

財團法人亞太金融研究發展基金會

 

合辦單位(Conference Co-Organizers)

臺灣證券交易所

國立中央大學

德明財經科技大學

開南大學

 

贊助單位(Sponsors)

國際票券金融股份有限公司

財團法人中華民國證券櫃臺買賣中心

 

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 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)
Session II.   Risk Management (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"Please DO NOT quote without authors permission."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

4.      The Impact of State Policies on the Relation between Ownership and Firm Value: The Evidence of Chinese Listed Firms

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

1.      Examining the non-monotonic relationship between risk and security returns using the quantile regression approach

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

 

3.      A Time-changed NGARCH model on the leverage and volatility clustering effects by extreme events: Evidence from the S&P 500 index over the 2008 financial crisis

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