PROGRAM DETAILS (Preliminary)wise.xmu.edu.cn › Meetings › ckfinder › userfiles › files › ... · Portfolio Optimization and Asset Pricing with Heterogeneous and Constrained

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PROGRAM DETAILS (Preliminary)

Saturday, June 25, 2016, 8:30 am- 8:45 am

Opening Ceremony N302 (Chair: Yinggang Zhou)

Welcome Speech by Yongmiao Hong

Saturday, June 25, 2016, 8:45 am- 10:15 am

Keynote Speech I N302 (Chair: Ye Guo)

Deposit Competition and Financial Fragility: Evidence from the US Banking Sector

Ali Hortacsu, The University of Chicago

Keynote Speech II N302 (Chair: Ying Fang)

Research Findings On Corporate Boards of Directors

Ron Masulis, The University of New South Wales

Saturday, June 25, 2016, 10:45 am – 12:15 pm

Asset Pricing N301

Guojin Chen, Xiamen University

Term Structure of Recession Probabilities and the Cross-Section of Asset Returns

Ti Zhou, Hong Kong University of Science and Technology

Informed Trading，Information Uncertainty and Stock Risk Premium

Runze Zhang, Xiamen University

Guojin Chen, Xiamen University

Peilin Hsieh, Xiamen University

Asset Pricing with Endogenous Entry

Xiaoquan Wang, Peking University

Portfolio Optimization and Asset Pricing with Heterogeneous and Constrained

Investors

Yajun Xiao, University of Technology, Sydney

Lei Shi, University of Technology, Sydney

Gini’s Mean Difference, Asset Pricing and Market Efficiency

Pingsheng Dai, Xiamen University

Discussant:


Ti Zhou, Hong Kong University of Science and Technology

Yajun Xiao, University of Technology, Sydney

2

Pingsheng Dai, Xiamen University

Xiaoquan Wang, Peking University

Corporate Finance N302

Ginger Wu, Federal Reserve Board

Corruption and Trust: Evidence from Stock Market

Chen Lin, University of Hong Kong

Micah Officer, Loyola Marymount University

Zengyuan Sun, Xiamen University

The Information Role of Advisors in Mergers and Acquisitions: Evidence from

Acquirers Hiring Targets’ Ex-advisors

Xin Chang, Nanyang Technological University

Chander Shekhar, University of Melbourne

Lewis H.K. Tam, University of Macau

Jiaquan Yao, Xiamen University

IPO Quantity Revisions

Wei Wang, Cleveland State University

Chris Yung, University of Virginia

Cross-holding in Cournot Duopoly with Asymmetric Information

Longhua Liu, Shandong University

Junshan Lin, Shandong University

Cheng-Zhong Qinz, University of California at Santa Barbara

Analyst Proximity and Earnings Management

Ginger Wu, Federal Reserve Board

Yue Tang, Federal Reserve Board

Discussant:

Jiaquan Yao, Xiamen University


Longhua Liu, Shandong University

Juanjuan Huang, Xiamen University

Zengyuan Sun, Xiamen University

Systemic Risk N308

Ye Guo, Xiamen University

Trade Credit, Financing Structure and Growth - Theory and Evidence

Junjie Xia, University of Southern California

3

Systemic Bank Panics in Financial Networks

Zhen Zhou, New York University

Systemic Risk in Global Volatility Spillover Network

Zihui Yang, Sun Yat-Sen University

Yinggang Zhou, Xiamen University

The Assessment of Systemically Important Financial Institution of China: Based on

Multivariate Extreme Value Theory

Hongquan Li, Hunan Normal University

Yingying Huang, Hunan Normal University

Discussant:

Hongquan Li, Hunan Normal University

Ye Guo, Xiamen University

Zhen Zhou, New York University

Junjie Xia, University of Southern California

International Finance N401

Mengnan Zhu, Xiamen University

Impacts of Monetary Shocks and Endogenous Anti-dumping on FDI

Xiaoguang Wu, Central University of Finance and Economics

Wenli Sun, Beijing Foreign Studies University

A Research of the Strategic Asset Allocation of China Sovereign Wealth Fund：From the

Perspective of Hedging the Dollar Exchange Risk

Chengxiang Hao, Xiamen University

Haiyan Yu, Xiamen University

融资约束、高管网络与企业跨国并购:来自中国的证据

Ping Wei, Central South University

Xiaodan Mao, Central South University

An Empirical Analysis of Chinese Financial Market Liberalisation Process

Ye Bai, University of Nottingham

Yan Pang Chow, University of Nottingham

Scale of Foreign Reserve, Exchange Rate and Currency Internationalization—The

Empirical Study of Yen

Mengnan Zhu, Xiamen University

Shuai Yan, Xiamen University

Discussant:

4

Xiaoguang Wu, Central University of Finance and Economics

Haiyan Yu, Xiamen University

Ping Wei, Central South University

Shuai Yan, Xiamen University

Ye Bai, University of Nottingham

China Financial Reform N406

Wenbin Xu, Xiamen University

The Real Effect of Financial Reforms: Evidence from Corporate Debt in China

Xian Gu, Central University of Finance and Economics

The Real Effect of Privatization: Evidence from China’s Split Share Structure Reform

Yongxian Tan, Shanghai University of Finance and Economics

Xuan Tian, Indiana University；Tsinghua University

Xinde Zhang, Shanghai University of Finance and Economics

Hailong Zhao, Shanghai University of Finance and Economics

融资融券交易提升了股市流动性吗？--来自 A 股市场的经验证据

Qian Liu, Guangdong Baiyun University

Margin Trading, Interest Rates and Stock Volatility: Evidence from China

Lihua Wu, Xiamen University

Qian Lin, Xiamen University

Discussant:

Yongxian Tan, Shanghai University of Finance and Economics

Qian Liu, Guangdong Baiyun University

Qian Lin, Xiamen University

Xian Gu, Central University of Finance and Economics

Saturday, June 25, 2016, 13:15 pm – 14:00 pm

Keynote Speech III N302 (Chair: Helen Zhang)

Reflections on China: Lessons in Economics and Finance

Philip Dybvig, Washington University at St Louis and

Southwestern University of Finance and Economics


Corporate Governance N301

Haiwei Jing, Xiamen University

5

Does Distance Matter for Debtholder-Shareholder Conflicts?

Xiaoran Huang, Nanyang Technological University

Jun-Koo Kang, Nanyang Technological University

Lei Zhang, Nanyang Technological University

Equity Incentives and Corporate Cash Holdings：Empirical Evidence from Public

Firms in China

Zhan Ye, Xiamen University

Incremental Improvement in Minority Shareholder Protection: Regulatory Reform of

Cumulative Voting

Yinghui Chen, Zhongnan University of Economics and Law

Julan Du, The Chinese University of Hong Kong

On the Role of Foreign Directors: New Insights from Cross-Listed Firms

Chinmoy Ghosh, University of Connecticut

Fan He, Central Connecticut State University

Haoyong Zhou, Keele University

Can Local Accent Reduce Agency Cost？A Study Based on Dailects

Yue Pan, Xiamen University

Jinli Xiao, Xiamen University

Yiyi Dai, Xiamen University

Discussant:

Zhan Ye, Xiamen University


Haoyong Zhou, Keele University



Insurance and Actuarial Science N308

Yuantao Xie, University of International Business and Economics

Reinsurance, Tax Incentives, and Efficiency

Dongmei Chen, Fudan University

我国基本养老金制度破产边界及延迟退休的影响

Chen Pengjun, Huaqiao University

我国寿险业、银行业与证券业企业所得税制比较研究

Ning Wei, Beijing Technology and Business University

Which is China’s Public Pension System Option：Nominal Combination or Separation?

6

Li Qingxia, Xiamen University

农业保险费率厘定系统研究---以生猪养殖业为例

Xie Yuantao, University of International Business and Economics

Discussant:

Ning Wei, Beijing Technology and Business University

Xie Yuantao, University of International Business and Economics

Li Qingxia, Xiamen University

Dongmei Chen, Fudan University

Chen Pengjun, Huaqiao University

Predictability N401

Yu Ren, Xiamen University

A Clustered Three-Pass-Regression Filter Model: An Optimal Model in Out-Of-Sample

Forecasting

Zhennan Ye, Xiamen University

Yangshu Liu, Xiamen University

Wenzhou Qu, Xiamen University

Does Options Trading Convey Information on Futures Prices?

William T. Lin, Tamkang University

Shih-Chuan Tsai, Taiwan Normal University

Zhenlong Zheng, Xiamen University

Shuai Qiao, Xiamen University

Lotto, How to Win? Skew Timing Based on the Predictability

Jian Chen, Xiamen University

Yangshu Liu, Xiamen University

Jun Tu, Singapore Management University

Solving Asset Pricing Models Using Instrumental Variable 2-Stage Regressions?

Liyuan Cui, Cornell University

Yongmiao Hong, Xiamen University and Cornell University

Balanced Predictive Regressions


Yundong Tu, Peking University

Yanping Yi, Shanghai University of Finance and Economics

Discussant:


Zhennan Ye, Xiamen University

7


Zhonghao Fu, Cornell University

Jian Chen, Xiamen University

Behavioral Finance N406

Fuwei Jiang, Central University of Finance and Economics

Do Behavioral Biases Affect Order Aggressiveness?

Jiangze Bian, University of International Business and Economic

Kalok Chan, CUHK Business School

Donghui Shi, Shanghai Stock Exchange

Hao Zhou, Tsinghua University

股票期权投资者交易行为异于国际成熟市场吗? 基于台湾分笔交易数据的研究

Zhiying Chen, Southwest University of Political Science and Law

Cangxiang Lin, Tamkang University


Income Disparity, Material Aspirations and Household Investment on Risky Financial

Assets

Guangsu Zhou, Nankai University

Gang Fan, Peking University

Lixing Li, Peking University

Career Concerns of Banking Analysts

Joanne Horton, University of Exeter

George Serafeim, Harvard Business School

Shan Wu, University of Exeter

Manager Sentiment and Stock Returns


Joshua Lee, Florida State University-Tallahassee

Xiumin Martin, Washington University

Guofu Zhou, Washington University

Discussant:

Zhiying Chen, Southwest University of Political Science and Law

Jiangze Bian, University of International Business and Economics


Guangsu Zhou, Nankai University

Shan Wu, University of Exeter

8


Political Connection and Uncertainty N301

Lihui Tian, Nankai University

Charitable Donation, Political Connection and Financing Constraint--Empirical

Analysis on Chinese Private Enterprises

Yiming Wang, Xiamen University

Yiming Liu, Xiamen University

Political Uncertainty and Firm's Information Environment: Evidence from China

Yunsen Chen, Central University of Finance and Economics

Deqiu Chen, University of International Business and Economics

Weiming Wang, Saint Louis University

Dengjin Zheng, Tsinghua University

Home Bias in IPO Underwriters: Evidence from Personel Connections

Qingfeng Cai, Xiamen University

Lin Tian, Xiamen University

Hong Liu, Xiamen University

Can Political Connections Improve Corporate Performance of China’s Listed

Companies with Different Controlling Shareholders?


Wei Cheunga, Nankai University

Discussant:


Qingfeng Cai, Xiamen University

Yunsen Chen, Central University of Finance and Economics

Yiming Wang, Xiamen University

Market Microstructure N308


A New Effective Spread Estimator based on Price Range

Yang Gao, Beijing University of Technology

Mingjin Wang, Peking University

Contagion Behavior of High-frequency Trading in Future and Option Markets


Yuqiang Guo, Xiamen University

Hongbiao Zhao, Xiamen University

9

Effects of the Limit Order Book on Price Dynamics

Xiaozhou Zhou, Université du Québec à Montréal

Georges Dionne, Université du Québec à Montréal

Retrieving Aggregate Information from Option Volume

William T. Lin, Tamkang University

Shih-Chuan Tsai,l Taiwan Normal University



Discussant:

Yuqiang Guo, Xiamen University

Xiaozhou Zhou, Université du Québec à Montréal


Yang Gao, Beijing University of Technology

Corporate Information Disclosure N401

Juanjuan Huang, Xiamen University

Debt Refinancing Risk and Corporate Misreporting

Bo Li, Tsinghua University

Si Li, Wilfrid Laurier University

Bohui Zhang, University of New South Wales

Corporate Environmental Disclosure and Bond Investment Risk

Hongjun Wu, Xiamen University

Lingrong Zheng, Xiamen University

Do Firms’ Credit Ratings Benefit from Corporate Transparency?

Jun Cai, City University of Hong Kong

Tao Chen, Open University of Hong Kong

Miao Luo, Sun Yat-Sen University

Is the Disclosure Strategy for Pollution Control Effective in China?

Ying Fang, Xiamen University

Junjie Guo, Xiamen University

Discussant:

Hongjun Wu, Xiamen University

Miao Luo, Sun Yat-Sen University

Junjie Guo, Xiamen University

Bo Li, Tsinghua University

10

Volatility N406

Haiqiang Chen, Xiamen University

Variance and Skew Risk Premiums for the Volatility Market: The VIX Evidence

Yahua Xu, Auckland University of Technology

Jose Da Fonseca, Auckland University of Technology

Does Macroeconomy Matter to Market Volatility? Evidence from Industries and Twist

Effects of Quantitative Easing

Terence Tai-Leung CHONG, The Chinese University of Hong Kong

Zhang Wu, The Chinese University of Hong Kong

Improving Volatility Prediction with Machine Learning

Seth Huang, Ewha School of Business

A new estimator for integrated volatility with microstructure noise and jumps


Chuanhai Zhang, Xiamen University

Discussant:

Zhang Wu, The Chinese University of Hong Kong

Yahua Xu, Auckland University of Technology


Seth Huang, Ewha School of Business

Sunday, June 26, 2016, 8:30 am – 10:00 am

Keynote Speech IV N302 (Chair: Haiqing Chen)

Who Matters the Most in Asia: A New Global VAR Approach

Kuan, Chung-Ming, Taiwan University

Keynote Speech V N302 (Chair: Jian Chen)

Anti-Corruption Reforms and Shareholder Valuations: Evidence from China

Bernard Yeung, National University of Singapore

Sunday, June 26, 2016, 10:30 am – 12:00 noon

Bond Market N301

Canlin Li, Federal Reserve Board

Soft Budget Constraint and the Default Risk of Chinese Local Government Debts：

Evidence from the Financial Markets

Yongqin Wang, Fudan University

http://bizfaculty.nus.edu/faculty-profiles/194-yin--bernard

11


Julan Du, The Chinese University of Hong Kong

The Joint Dynamics and Risk Transmission between Chengtou Bond Spreads and

Treasury Yields in China

Zhiwu Hong, WISE, Xiamen University

Linlin Niu, WISE, Xiamen University

Intraday Jumps in China’s Treasury Bond Market

Hua Zhao, Xiamen Univeristy

Jing Cui, China Nature Asset Management Co.,Ltd.

What Factors Move Government Bond Interest Rates in China?


Longzhen Fan, Fudan University

Discussant:

Linlin Niu, WISE, Xiamen University



Hua Zhao, Xiamen Univeristy

Bubble and Crash N308

Qian Han, Xiamen University

Short-sale Constraints,Heterogeneous Beliefs and Financial Asset Bubbles -An

Empirical Study on Chinese Stock Market

Jianyong Wang, Xiamen university

Tax Avoidance, External Monitoring and Stock Crash: Evidence from China

Wentai Kong, Zhongnan University of Economics and Law

Chuntao Li, Zhongnan University of Economics and Law

The Pathogen, Scapegoat, or a Miracle Drug? Short Selling and Stock Price Crash Risk

Lei Gao, Iowa State University

Xiaohu Deng, The University of Memphis

Jeong-Bon Kim, University of Waterloo

Tails, Fears and Persisent Deep Backwardation on Chinese Index Futures Prices

Jufang Liang, Xiamen University

Qian Han, Xiamen University

Discussant:

Wentai Kong, Zhongnan University of Economics and Law

12

Jufang Liang, Xiamen University

Jianyong Wang, Xiamen university

Lei Gao, Iowa State University

Monetary Policy N401

Yan Liu, Wuhan University

Time-Varying Coefficient Taylor Rule and Chinese Monetary Policy--Evidence from the

Time-Varying Cointegration

Wei Ma, Hunan University

Haiqi Li, Hunan University

Yu Guo, Hunan University

On the Policy Mechanism of Loan to Value Ratio Restrictions

Feiming Huang, Jiangxi University of Finance and Economics

Stephen M. Miller, University of Nevada

Research on Reserve Requirement Ratio During the Transition of Monetary Policy

Framework

Huiping Yuan, Xiamen University

Mingzhou Wu, Xiamen University

Jianlong Zhang, Xiamen University

State Ownership and Bank Lending Channel of Monetary Policy: Theory and Evidence

from China


Haotian Sun, Wuhan University

Discussant:

Feiming Huang, Jiangxi University of Finance and Economics



Wei Ma, Hunan University

Innovation and Investment N406


Board Independence and Corporate Innovation

Jun Lu, Central University of Finance and Economics


The Real Effects of Tournament Incentives: The Case of Firm Innovation

Ning Jia, Tsinghua University

Xuan Tian, Indiana University

13

Weining Zhang, Cheung Kong Graduate School of Business

The Value of Innovation and the Spillover Effect on Alliance Partners

James Qiancheng Zheng, Emporia State University

Why Do U.S. Firms Invest Less Over Time?

Fangjian Fu, Singapore Management University

Sheng Huang, Singapore Management University

Rong Wang, Singapore Management University

Dynamics of Financial Leverage across Firm Life Cycle in Chinese Firms: Theory and

Evidence Using Dynamic Panel Data Model.

Ajid ur Rehman, Dongbei University of Finance and Economics

Man Wang, Dongbei University of Finance and Economics

Sajal Kabiraj, Dongbei University of Finance and Economics

Discussant:

Ning Jia, Tsinghua University

James Qiancheng Zheng, Emporia State University

Jun Lu, Central University of Finance and Economics

Ajid ur Rehman, Dongbei University of Finance and Economics


Sunday, June 26, 2016, 13:15 pm – 14:00 pm

Keynote Speech VI N302 (Chair: Juanjuan Huang)

Innovation, M&A, and Value Creation

Chen Lin, The University of Hong Kong

Sunday, June 26, 2016, 14:00 pm – 15:30 pm

Fund Market N301


Hedge Fund and Private Investor Activism: Evidence from Hong Kong

Frank Wong, University College Dublin

Secondary Buyouts and the Strategies of PE Investors

Jens Martin, University of Amsterdam

Hanimario Stefanus, SPF Beheer

How Do Open-End Equity Mutual Funds Perform and Manage Portfolio Risk under

Different Market States? Evidence from China

14

Hai Lin, Jiangxi University of Finance and Economics

Ping-Wen Sun, Jiangxi University of Finance and Economics

The Information in Fire Sales


Matthew Ringgenberg, Washington University

Joe Zhe Zhang, Singapore Management University

Discussant:

Jens Martin, University of Amsterdam

Frank Wong, University College Dublin


Ping-Wen Sun, Jiangxi University of Finance and Economics

Executive and Employee Compensation N302


Big Fish in a Small Pond: CEO Turnover, Compensation, and Equilibrium Matching

Zhan Li, University of Winnipeg

Improving the Wages of Employees can create value for enterprises?

Ruoyu Weng, Xiamen University


Is Director Reputation Rewarded? New Evidence on Internal and External Labor

Markets

Qinxi Wu, Georgia State University

Mark A. Chen, Georgia State University

Evgenia Zhivotova, University of Mannheim Business School

Executive Compensation and the Market Valuation of Managerial Attributes


Discussant:

Ruoyu Weng, Xiamen University

Zhan Li, University of Winnipeg


Qinxi Wu, Georgia State University

Exchange Rate N308


Did the Shocks of RMB Exchange Rate Reforms Have Spillover Effect into US Yields?

Linlin Niu, Xiamen University

15

Mucai Lin, Xiamen University

Zhiwu Hong, Xiamen University

The Influence of Central Bank Communication on RMB Exchange Rate Volatility：

Based on Heterogeneous expectation Assumption

Ning Zhu, Central South University

Yixuan Xu, Central South University

Aojie Xu, Central South University

Empirical Modelling of Foreign Exchange Rate under a Stochastic Discount Factor

Framework

Yun Li, Massey University

Xiyun Weng, Guotai Juan (Asia) Ltd

Chenchen Zhang, Columbia University

CNY Spillover Effect on Domestic and Foreign Stock Markets


Lianbin Zeng, Xiamen University

How Does Smooth Structural Change Affect Asymmetric Dependence in Foreign

Exchange Market

Xingtong Zhang, Cornell University

Discussant:

Ning Zhu, Central South University

Mucai Lin, Xiamen University

Lianbin Zeng, Xiamen University

Yun Li, Massey University

Juan Lin, Xiamen University

Banking N401


利益冲突 or 声誉机制？——基于中国商业银行评级数据

Zhonghua Shen, Taiwan University and Hunan University

Chao Guan, Xiamen University

Does Bank Competition Improve Productivity? Evidence from Chinese Industrial

Enterprises

Weixing Cai, University of Science and Technology Beijing

资本质量与存款结构会影响银行贷款行为吗？

Zhonglu Liu, Xiamen University

16

What Really Matters for Default Risk in P2P Lending? Evidence from China

Wenbin Xu, Xiamen University

Kunyue Xue, Huaxia Bank

Jiefeng Zhou, Xiamen University

Discussant:

Weixing Cai, University of Science and Technology Beijing

Zhonglu Liu, Xiamen University

Jiefeng Zhou, Xiamen University

Chao Guan, Xiamen University

Documents

PROGRAM DETAILS (Preliminary)wise.xmu.edu.cn › Meetings › ckfinder › userfiles › files › ... · Portfolio Optimization and Asset Pricing with Heterogeneous and Constrained