Paper Abstract
Details to be updated.
The latest updated: December 3, 2000
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Session 1: Asset Pricing (I) December 16, 10:20 --12:20 |
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On the Pricing of Foreign Exchange Risk and Risk Exposure in the Japanese Stock Market |
Chu-Sheng Tai Texas A & M University, USA |
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A Multi-Period Capital Asset Pricing Model |
Chien-Ting Lin Edith Cowan University, Australia |
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Effects of Speculation on Asset Prices and Trading Volume in a Large Economy |
Wen-Chung Guo（郭文忠） Yuan Ze University, Taiwan |
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Capital Asset Pricing Model: The Malaysia Case |
Huck-Khoon Ch'ng（莊學勤） University Sains Malaysia G.S. Gupta Indian Institute of Management, Ahmedabad, India |
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Session 2: Corporate Finance (I) December 16, 10:20 --12:20 |
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Capital Budgeting and Optimal Financing under Uncertainty |
Szu-Lang Liao（廖四郎） Ming-Lei Chang（張敏蕾） National Chengchi University, Taiwan |
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Corporate Borrowing and Growth Option Value: The Limited Liability Effect |
Jyh-Bang Jou（周治邦） National Taiwan University, Taiwan |
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Corporate Reorganization, Court Decision, and Common Shares: An Empirical Analysis |
Gili Yen（顏吉利） Ching-lung Chen（陳慶隆） Chaoyang University of Technology, Taiwan |
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Firm Financial Policy on the Business Cycle: The Case of an Emergency Market |
Mia Twu（屠美亞） National Chengchi University |
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Session 3: Corporate Finance (II) December 16, 13:30 --15:30 |
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Firms' Selection of Funds Providers: Direct Financing Versus Indirect Financing |
Jau-Ling Tseng（曾昭玲） Shih Hsin University, Taiwan |
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The Wealth Effect of Domestic Joint Ventures: Evidence from Taiwan |
Shao-Chi Chang（張紹基） National Cheng Kung University, Taiwan |
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Do Firms Knowingly Repurchase Stock for Good Reason? |
Konan Chan（湛可南） National Taiwan University, Taiwan |
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Subsidiary's Trading of Parent Stocks: Announcement Effects and Their Determinants |
Yang-Pin Shen（沈仰斌） Yuan-Ze University, Taiwan |
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Session 4: Market Behavior (I) December 16, 13:30 --15:30 |
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The Performance of "Internet Stocks" Recommendations by Security Analysts of major U.S. Brokerage Firms and Influential Factors of Recommendations Decision Process |
Shiou-Wei Lin（林修葳） National Taiwan University, Taiwan Wen-Chang Luo（羅文昌） Citi bank, Taiwan |
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A Comparison on the Investment Psychology between Individual Investors and Foreign Investors in Taiwan Stock Exchange |
Hsiang-Lin Chih（池祥麟） Eric Sha（沙勝毅） Ming Chuan University, Taiwan |
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The Efficiency/Dynamics of Taiwan's Money Market |
Jack J.W. Yang（楊踐為） National Yunlin University of Science & Technology, Taiwan |
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Liquidity Enhancement through Seasoned Equity Offerings: Evidence from an Emerging Market |
Chia-Cheng R. Ho（何加政） National Chung Cheng University, Taiwan |
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Session 5: Interest Rate December 16, 13:30 --15:30 |
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Pricing CAT Bonds with Moral Hazard and Basis Risk |
Min-Teh Yu（俞明德） Yuan Ze University |
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A Comparison of Single Factor Models for Australian Short-Term Interest Rate |
Steven Li Edith Cowan University, Australia |
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An Empirical Analysis of Australian Dollar Swap Spreads |
Ronny Muljono Victor Fang Monash University, Australia |
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A Re-examination of Variance-Ratio Test of Random Walks in Foreign Exchange Rates |
Yuan-Chen Chang（張元晨） National Chung Hsing University, Taiwan |
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Session 6: Behavioral Finance (I) December 16, 15:50 --17:50 |
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Fund Herding and the Reputation Value of Fund Managing Company |
Chun-An Lee（李春安） National Yunlin University of Science & Technology, Taiwan Victor W. Liu（劉維琪） National Sun Yat-sen University, Taiwan |
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Understanding Home Bias in Equities: An Investor Perspective |
Kai Li University of British Columbia, Canada |
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Changes in the Behaviour of Earnings Surprise: Evidence and Implications |
Ron Bird University of Technology, Sydney, Australia |
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On the Disappearance and Persistence of seasonal Anomalies |
Nan-Ting Chou University of Louisville, USA |
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Session 7: Market Microstructure (I) December 16, 15:50 --17:50 |
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Trading Frequency and Stock Volatility |
Chan Chang（詹場） National Kaohsiung First University of Science and Technology, Taiwan |
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Bid-Ask Spread Disparity between the Domestic and Foreign Shares in the Chinese Stock Markets |
Yea-Mow Chen San Francisco State University, USA |
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Long-Run Dependence between Trading Volume and Exchange Rate Volatility in the Korean Won/Dollar Market |
Keonbeom Lee Korea Institute of Finance, Korea Yong Joo Sang Sejong University, Korea |
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A New Approach to Estimate the Probability of Information Trading |
Tai Ma（馬黛） National Sun Yat-sen University |
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Session 8: Derivatives (I) December 16, 15:50 --17:50 |
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On the Pricing of Asia-Pacific Forward Foreign Exchange Contracts |
Chu-Sheng Tai Texas A & M University, USA |
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The Closed-Form Pricing Models of Look-Back and Multiple-Reset Call Warrants |
Son-Nan Chen（陳松男） National Chengchi University, Taiwan |
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Estimation of the Implied Parameters in the Heath-Jarrow-Morton Model |
Lan-Chih Ho（賀蘭芝） Yuan Ze University, Taiwan |
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Session 9: Financial Crisis December 16, 15:50 --17:50 |
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An Exploration of Currency Contagion Using the South-East Asian Economic Crisis and Neural Networks |
Callum Scott University of Melbourne, Australia |
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Conducting Stress Tests of Asian Stock Portfolios-A Comparison of Models |
Shen Wang（王甡） National Chiao-Tung University, Taiwan |
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Rome Did Not Collapse in a Day Continued Corporate Distress as the Core of the Third Generation Model |
Chung-Hua Shen（沈中華） National Chengchi University, Taiwan |
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The Impact of Derivative Activities on the Risk of U.S. and Foreign Banks |
Yih-Wen Peter Shyu（徐憶文） Chang Gung University, Taiwan |
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Session 10: Asset Pricing (II) December 17, 9:00 --11:00 |
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The Effect of VaR Based Risk Management on Asset Prices and the Volatility Smile |
Phornchanok Cumperayot Erasmus University Rotterdam, The Netherlands |
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Factors, Characteristics, and Portfolio Optimization |
Pin-Huang Chou（周賓凰） National Central University, Taiwan |
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Four-Moment CAPM Conditional on Market Conditions: Evidence from the Taiwan Stock Market |
Chaoshin Chiao（蕭朝興） National Dong Hwa University, Taiwan |
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The Analysis of Duration and Immunization Strategy under the HJM Term Structure Framework |
Chuang-Chang Chang（張傳章） National Central University, Taiwan |
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Session 11: Behavioral Finance (II) December 17, 9:00 --11:00 |
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Testing Shifts in Financial Models with Conditional Heteroskedasticity: An Empirical Distribution Function Approach |
Shinn-Juh Lin（林信助） National Tsing Hua University, Taiwan |
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The Influence of Cultural Factors on Price Clustering: Evidence from Asia-Pacific Stock Markets |
Jason Mitchell Hong Kong Polytechnic University, Hong Kong |
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Understanding the Equity Home Bias: Evidence from Survey Data |
Gary Xinzhong Xu Lancaster University, United Kingdom |
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The Periodic Volatility Model of Intraday NTD/USD Exchange Rates |
Yin-Feng Gau（高櫻芬） Mingshu Hua（滑明曙） National Chi Nan University, Taiwan |
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Session 12: Corporate Finance (III) December 17, 9:00 --11:00 |
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Why Companies Issue Stock Dividends: The Case of Taiwan |
Ming-Cheng Wu（吳明政） National Chengchi University, Taiwan |
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The Wealth Effects of Voluntary Foreign Divestitures: The UK Evidence |
Han-Min Wang（王漢民） Fengchia University, Taiwan |
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Capital Investments and Stock Returns |
K.C. John Wei Hong Kong University of Science and Technology, Hong Kong |
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The Long-Run Performance Puzzle of Initial Public Offerings in Taiwan: The Specification of the Measurement Model |
Anlin Chen（陳安琳） National Sun Yat-sen University, Taiwan |
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Session 13: Market Microstructure (II) December 17, 13:30 --15:30 |
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Are Price Limits Effective? A Closer Look at the Evidence from Taiwan Stock Market |
Jie-Haun Lee（李志宏） Robin K. Chou（周冠男） National Central University, Taiwan |
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Common Factors in Liquidity: Evidence from Taiwan Stock Market |
Chueh-Yung Tsao（棗厥庸） Jie-Haun Lee（李志宏） Shu-Ying Lin（林淑瑛） Wan-Chen Lee（李婉貞） National Central University, Taiwan |
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Liquidity Providers on an Electronic Order-Driven Market |
Edward H. Chow（周行一） National Chengchi University, Taiwan |
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Econometric Analysis of Mutivariate High Frequency Financial Data |
Jeffrey R. Russell University of Chicago, USA |
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Session 14: Methodology December 17, 13:30 --15:30 |
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Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range Model |
Ray Yeutien Chou（周雨田） University of Chicago, USA |
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Marginal Conditional Stochastic Dominance, Statistical Inference and Measuring Portfolio Performance |
Kewn Victor Chow（周昆） West Virginia University, USA |
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Nonparametric Regression Estimation for the Conditional Mean and Variance Functions of Taiwan's Stock Returns |
Mei-Yuan Chen（陳美源） National Chung Cheng University, Taiwan |
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Session 15: Market Behavior (II) December 17, 13:30 --15:30 |
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Option Expirations and Abnormal Returns |
Chris Y. Liao（廖源星） National Sun Yat-sen University, Taiwan |
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The Effect of Credit Rating Announcements on Common Stock Returns |
Paul L. Hsueh（薛立言） National Chung Cheng University, Taiwan |
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On Market Share Buybacks and Earnings: Australian Evidence |
Balasingham Balachandran Monash University, Australia |
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An International Comparison of Inflation-Hedging Characteristics of Residential Property Prices |
Ming-Chi Chen（陳明吉） National Sun Yat-sen University, Taiwan |
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| Stock Auction Bidding Behavior and Information Asymmetries: An Empirical Analysis Using the Discriminatory Auction Model Framework |
An-Sing Chen（陳安行） National Sun Yat-sen University, Taiwan Gwohorng Liaw（廖國宏） National Chung-Cheng University |
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Session 16: Derivatives (II) December 17, 15:50 --17:50 |
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The Binomial Black Scholes Model and the Greeks |
San-Lin Chang（張森林） National Central University, Taiwan |
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Pricing Barrier Options on Interest Rates |
I-Yuan Chuang（莊益源） National Chung Cheng University, Taiwan |
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Determinants of Swap-Futures Differential: An Empirical Investigation of Pricing Australian Interest Rate Swaps Using Bank Bill Futures |
Victor Fang Monash University, Australia |
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Session 17: Investment December 17, 15:50 --17:50 |
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Evaluating Mutual Fund Performance: An Application of Minimum Convex Input Requirement Set Approach |
Kuo-Ping Chang（張國平） National Tsing Hua University, Taiwan |
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Investors' Behavior of Taiwan Mutual Funds- Performance and Fund Flows |
Pei-Gi Shu（許培基） Fu-Jen Catholic University, Taiwan |
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Solving the Portfolio Allocation Puzzle |
Haim Shalit Ben Gurion University of the Negev, Israel |
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Inherent Efficiency, Security Markets, and the General Pricing of Investment Strategies |
Liang Zou University of Amsterdam, The Netherlands |
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