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2013 China International Conference in Finance
July 10-13, 2013
Hilton Hotel, Shanghai, China
2013 中国金融国际年会
7 月 10 日 至 13 日

CONFERENCE PROGRAM

Registration
July 10, 2013 10:00-19:00
July 11 to July 13, 2013 08:30-18:00
Wednesday, July 10, 2013
14:00-17:00
Industry Symposium (Organized by TCW) - Ballroom ABC, 2F
Wednesday, July 10, 2013
18:00-19:30
Conference Reception (Sponsored by TCW) - Sui Yuan, 2F
Thursday, July 11, 2013
8:30-10:00AM
Capital Raising and Capital Structure - Tianjin Room, 2F
Session Chair: Sudipto Dasgupta, Hong Kong University of Science & Technology

Bank Lending Relationships and the Use of Performance-Sensitive Debt
Tim Adam, Humboldt University
Daniel Streitz, Humboldt University

Legal Institutions and Capital Raising Activities of Newly Public Firms
Azizjon Alimov, City University of Hong Kong
Michael Hertzel, Arizona State University

Operating Inflexibility, Profitability and Capital Structure
Zhiyao Chen, University of Reading
Jarrad Harford, University of Washington
Avraham Kamara, University of Washington


Discussants:
Zexi Wang, Swiss Finance Institute, University of Zurich
Fangjian Fu, Singapore Management University
Xueping Wu, City University of Hong Kong
Thursday, July 11, 2013
8:30-10:00AM
Mutual Funds - Shanghai Room, 2F
Session Chair: Lu Zheng, University of California, Irvine and China Academy of Financial Research

The Mutual Fund Industry Worldwide: Explicit and Closet Indexing, Fees, and Performance
Martijn Cremers, University of Notre Dame
Miguel Ferreira, Nova School of Business and Economics
Pedro Matos, University of Virginia
Laura Starks, University of Texas at Austin

Managerial Rents vs. Shareholder Value in Delegated Portfolio Management:The Case of Closed-End Funds
Youchang Wu, University of Wisconsin - Madison
Russ Wermers, University of Maryland
Josef Zechner, Vienna University Economics and Business Administration

The Predictability of Managerial Heterogeneities in Mutual Funds
Jun Huang, Shanghai University of Finance and Economics
Yan Wang, Chinese University of Hong Kong

Excess Autocorrelation and Mutual Fund Performance
Xi Dong, INSEAD
Massimo Massa, INSEAD


Discussants:
Jay Wang, University of Oregon
Meijun Qian, National University of Singapore and WFIC
Paul Burik, Shanghai Advanced Institute of Finance, SJTU
Li Yong, Mercy College
Thursday, July 11, 2013
8:30-10:00AM
Market Liquidity - Magnolia Room, 2F
Session Chair: Jennifer Huang, Cheung Kong Graduate School of Business

Liquidity Shocks and Stock Market Reactions
Turan Bali, Georgetown University
Lin Peng, City University of New York
Yannan Shen, City University of New York
Yi Tang, Fordham University

The Illiquidity Premium: International Evidence
Yakov Amihud, New York University
Allaudeen Hameed, National University of Singapore
Wenjin Kang, National University of Singapore
Huiping Zhang, Shanghai University of Finance and Economics

Identifying Cross-Sided Liquidity Externalities
Johannes Skjeltorp, Norges Bank
Elvira Sojli, Erasmus University and Duisenberg school of finance
Wing Wah Tham, Erasmus University and Tinbergen Institute

Liquidity Premium in the Eye of Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market
Jingzhi Huang, Penn State University
Zhenzhen Sun, Siena College
Tong Yao, University of Iowa
Tong Yu, University of Rhode Island


Discussants:
Gang Xiao, Renmin University of China
Tilan Tang, Clemson University
Ying Wu, Cornell University
Song Han, Federal Reserve Board
Thursday, July 11, 2013
8:30-10:00AM
The Cross Sections of Asset Returns - Jasmine Room, 2F
Session Chair: Xiaoyan Zhang, Purdue University and China Academy of Financial Research

Digesting Anomalies: An Investment Approach
Kewei Hou, Ohio State University
Chen Xue, University of Cincinnati
Lu Zhang, Ohio State University and NBER

Trends in Capital Market Anomalies
Tarun Chordia, Emory University
Avanidhar Subrahmanyam, University of California, Los Angeles
Qing Tong, Singapore Management University

Informed Trading and Expected Returns
James Choi, Yale University and NBER
Li Jin, Oxford University and Peking University
Hongjun Yan, Yale University

Trend Factor: A New Determinant of Cross-Section Stock Returns
Yufeng Han, University of Colorado
Guofu Zhou, Washington University in St. Louis and China Academy of Financial Research


Discussants:
Jialin Yu, Hong Kong University of Science & Technology
Nan Li, National University of Singapore
Roger Loh, Singapore Management University
Fuwei Jiang, Singapore Management University
Thursday, July 11, 2013
8:30-10:00AM
银行与信贷 - Lily Room, 2F
主持人: 宋清华, 中南财经政法大学

持股金融机构、融资约束与企业现金储备
朱松, 北京师范大学

银企关系差异与IPO抑价:基于中国上市公司的实证分析
郝项超, 南开大学
石劲, 澳洲国立大学
杨坚, 科罗拉多大学

中国上市银行系统性风险及其影响因素研究
陆静, 重庆大学
胡晓红, 重庆大学

我国银行业系统性风险研究——基于拓展的未定权益分析法
吴恒煜, 西南财经大学
胡锡亮, 西南财经大学
吕江林, 江西财经大学


Discussants:
顾露露, 中南财经政法大学
陈欣, 上海交通大学
吕江林, 江西财经大学
陆静, 重庆大学
Thursday, July 11, 2013
8:30-10:00AM
Theoretical Corporate Finance - Beijing Room, 2F
Session Chair: Neng Wang, Columbia University and Shanghai University of Finance and Economics

Agency, Firm Growth, and Managerial Turnover
Ron Anderson, London School of Economics
Cecilia Bustamante, London School of Economics
Stephane Guibaud, London School of Economics

Delegated Investment in a Dynamic Agency Model
Florian Hoffmann, University of Frankfurt
Sebastian Pfeil, University of Frankfurt

A Mechanism Design Model of Firm Dynamics: The Case of Limited Commitment
Hengjie Ai, University of Minnesota
Dana Kiku, University of Pennsylvania
Rui Li, Purdue University

Optimality of Debt under Flexible Information Acquisition
Ming Yang, Duke University


Discussants:
John Zhu, University of Pennsylvania
Wei Cui, Princeton University
Nengjiu Ju, Hong Kong University of Science & Technology and Shanghai Advanced Institute of Finance, SJTU
Haoxiang Zhu, Massachusetts Institute of Technology
Thursday, July 11, 2013
10:30-12:00AM
资产定价 - Lily Room, 2F
主持人: 郑振龙, 厦门大学

住宅属性、基础教育资源与购房者意愿价格——基于北京、上海、广州、深圳52个区县的数据分析
李仲飞, 中山大学
张浩, 中山大学

基于随机折现因子方法的流动性定价机制研究
张玉龙, 北京大学
李怡宗, 北京大学

基于Bass 随机扩散模型的文化资产证券化定价研究
曹宏铎, 中山大学
李旲, 中山大学
张晓云, 中山大学

现金流信息、现金流风险与股票收益定价研究-基于中国股票市场的检验
宿成建, 贵州财经大学


Discussants:
韩立岩, 北京航空航天大学
陈蓉, 厦门大学
胡(韦华), 澳大利亚科庭大学
李仲飞, 中山大学
Thursday, July 11, 2013
10:30-12:00AM
Integrated Financial Management - Jasmine Room, 2F
Session Chair: Pengjie Gao, University of Notre Dame

As Certain as Debt and Taxes: Estimating the Tax Sensitivity of Leverage from Exogenous State Tax Changes
Florian Heider, European Central Bank
Alexander Ljungqvist, New York University and NBER

Rational Financial Management: Evidence from SEOs
Michael Barclay, University of Rochester
Fangjian Fu, Singapore Management University
Clifford W. Smith, University of Rochester

Cost Structure and Capital Structure
Qianqian Du, University of Stavanger
Laura Xiaolei Liu, Hong Kong University of Science & Technology
Rui Shen, Erasmus University

Growth Uncertainty and the Persistence of Investment and Financial Policies
Xueping Wu, City University of Hong Kong
Chau Kin Au Yeung, Chinese University of Hong Kong


Discussants:
Clemens Sialm, University of Texas at Austin and NBER
Dirk Hackbarth, University of Illinois at Urbana-Champaign
Jaewon Choi, University of Illinois
Yaxuan Qi, City University of Hong Kong
Thursday, July 11, 2013
10:30-12:00AM
Macroeconomics and Finance - Magnolia Room, 2F
Session Chair: Zhi Da, University of Notre Dame

Wage Rigidity: A Solution to Several Asset Pricing Puzzles
Jack Favilukis, London School of Economics and Political Science and FMG
Xiaoji Lin, Ohio State University

A Macroeconomic Foundation for the Equilibrium Term Structure of Interest Rates
Howard Kung, Duke University

Risk Aversion Sensitive Real Business Cycles
Zhanhui Chen, Nanyang Technological University
Ilan Cooper, BI, Norwegian Business School and Tel Aviv University
Paul Ehling, BI, Norwegian Business School
Costas Xiouros, BI, Norwegian Business School and University of Cyprus

Dividend Policy, Investment, and Stock Returns
Seung Mo Choi, International Monetary Fund
Shane Johnson, Texas A&M University
Hwagyun Kim, Texas A&M University
Changwoo Nam, Korea Development Institute


Discussants:
Erica Li, Cheung Kong Graduate School of Business
Xiaoji Lin, Ohio State University
Jun Li, University of Texas at Dallas
Wei Yang, Indiana University
Thursday, July 11, 2013
10:30-12:00AM
International Equity Investment - Shanghai Room, 2F
Session Chair: David Ng, Cornell University

The Dark Side of ETF Investing: A World-Wide Analysis
Si Cheng, National University of Singapore
Massimo Massa, INSEAD
Hong Zhang, INSEAD and Cheung Kong Graduate School of Business

Does Institutional Ownership Matter for International Stock Return Comovement?
José A.Faias, Catholic University of Portugal
Miguel Ferreira, Nova School of Business and Economics
Pedro Matos, University of Virginia
Pedro Santa-Clara, Nova School of Business and Economics

Frequent-but-Small and Infrequent-but-Large Return Asymmetries in International Equity Markets
Bruno Solnik, Hong Kong University of Science & Technology
Thaisiri Watewai, Chulalongkorn University

Country-Specific Attention and Security Returns
Qinghao Mao, Erasmus University
K.C. John Wei, Hong Kong University of Science & Technology


Discussants:
Youchang Wu, University of Wisconsin - Madison
Ying Wu, Cornell University
Zhaogang Song, Federal Reserve Board of Governors
Yu Yuan, Shanghai Advanced Institute of Finance, SJTU and WFIC
Thursday, July 11, 2013
10:30-12:00AM
Monitoring, Risk Taking, and Bailouts - Beijing Room, 2F
Session Chair: Nandini Gupta, Indiana University

Creditor Governance with Loan-to-Loan and Loan-to-Own
Kai Li, University of British Columbia and China Academy of Financial Research
Wei Wang, Queen's University

Hedge Fund Activists: Do They Take Cues from Institutional Exit?
Nickolay Gantchev, University of North Carolina at Chapel-Hill
Chotibhak Jotikasthira, University of North Carolina at Chapel-Hill

Risk-taking by Banks: What Did We Know and When Did We Know It?
Sugato Bhattacharyya, University of Michigan
Amiyatosh Purnanandam, University of Michigan

Shareholder Empowerment and Bank Bailouts
Daniel Ferreira, London School of Economics, CEPR and ECGI
David Kershaw, London School of Economics
Tom Kirchmaier, University of Manchester and FMG
Edmund-Philipp Schuster, London School of Economics


Discussants:
Yuejuan Yu, Tilburg University
Yong Chen, Texas A&M University
Yifei Mao, Indiana University
Abhiroop Mukherjee, Hong Kong University of Science & Technology
Thursday, July 11, 2013
10:30-12:00AM
Managerial Pay, Incentives, and Turnover - Tianjin Room, 2F
Session Chair: Garry Twite, University of Texas at Austin

Holding On For Good Times: The Information Content of the CEO's Voluntary Equity Exposure
Tao Chen, Chinese University of Hong Kong
Vidhi Chhaochharia, University of Miami
Rik Sen, Hong Kong University of Science & Technology

Does Improved Disclosure Lead to Higher Executive Compensation? – Evidence from Two Opposing Accounting and Auditing Standards Rule Changes
Jun Lu, Central University of Finance and Economics
Zhen Shi, Georgia State University

CEO Turnover-Performance Sensitivity in Private Firms
Huasheng Gao, Nanyang Technological University
Jarrad Harford, University of Washington
Kai Li, University of British Columbia and China Academy of Financial Research

Performance share plans: Valuation, Optimal Design, and Empirical Tests
Craig W. Holden, Indiana University
Daniel S. Kim, Peking University


Discussants:
Huasheng Gao, Nanyang Technological University
Qiaoqiao Zhu, Australian National University
Rik Sen, Hong Kong University of Science & Technology
Garry Twite, University of Texas at Austin
Thursday, July 11, 2013
12:15 – 13:30
Conference Lunch - Sui Yuan, 2F
Thursday, July 11, 2013
13:30 – 14:30
Keynote Speech - Ballroom AB, 2F
Keynote Speaker: Darrell Duffie, Stanford University
Thursday, July 11, 2013
14:45-16:15
Optimal Portfolio Choice - Tianjin Room, 2F
Session Chair: Hong Liu, Washington University in St. Louis and China Academy of Financial Research

Unemployment Risks and Optimal Retirement in an Incomplete Market
Alain Bensoussan, University of Texas at Dallas,City University Hong Kong and Ajou University
Bong-Gyu Jang, Pohang University of Science and Technology
Seyoung Park, Pohang University of Science and Technology

Implicit Incentives of Mutual Fund Flows and Liquidity Premia
Min Dai, National University of Singapore
Luis Goncalves-Pinto, National University of Singapore
Jing Xu, National University of Singapore

Defined Contribution Pension Plans: Sticky or Discerning Money?
Clemens Sialm, University of Texas at Austin and NBER
Laura Starks, University of Texas at Austin
Hanjiang Zhang, Nanyang Technological University

Ambiguous Jumps, Fears and Robust Portfolio Strategies
Xing Jin, University of Warwick
Xudong Zeng, Shanghai University of Finance and Economics


Discussants:
Mark Loewenstein, University of Maryland
Yang Zhou, Tilburg University
Zhi Da, University of Notre Dame
Hening Liu, University of Manchester
Thursday, July 11, 2013
14:45-16:15
机构投资者 - Lily Room, 2F
主持人: 赵欣舸, 中欧国际工商学院

询价制度改革与中国股市IPO“三高”问题——基于网下机构投资者报价视角的研究
俞红海, 南京大学
李心丹, 南京大学

机构投资者羊群行为与股价崩盘风险
许年行, 中国人民大学
于上尧, 中国人民大学
伊志宏, 中国人民大学

机构和个人投资者行为的比较研究——基于开放式基金投资者的分析
左大勇, 上海财经大学
陆蓉, 上海财经大学

营销投入与基金资金流动——基于中国开放式基金的经验证据
李志生, 中南财经政法大学
徐谦, 中南财经政法大学
刘淳, 清华大学经济管理学院


Discussants:
唐涯, 北京大学
左大勇, 上海财经大学
张华, 中欧国际工商学院
田澍, 复旦大学
Thursday, July 11, 2013
14:45-16:15
Monetary Policy and Asset Pricing - Magnolia Room, 2F
Session Chair: Jun Liu, Shanghai Advanced Institute of Finance, SJTU and University of California, San Diego

What do Nominal Rigidities and Monetary Policy tell us about the Real Yield Curve?
Alex Hsu, Georgia Tech University
Erica X.N. Li, Cheung Kong Graduate School of Business
Francisco Palomino, University of Michigan

The Economics of Policymaking: Theory and Evidence in the Dynamics of Interest Rates
Swee Sum Lam, National University of Singapore
Tao Li, City University of Hong Kong
Weina Zhang, National University of Singapore

Estimating Monetary Policy Rules with Serially Correlated Monetary Policy Shocks
Casper de Vries, Erasmus University Rotterdam and Tinbergen Institute
Wei Li, Erasmus University Rotterdam and Tinbergen Institute


Discussants:
Canlin Li, Federal Reserve Board
Nengsheng Fang, Southwestern University of Finance and Economics
Jingyi Zhang, Shanghai Advanced Institute of Finance, SJTU
Thursday, July 11, 2013
14:45-16:15
Liquidity, Cash Holding and Financial Constraints - Jasmine Room, 2F
Session Chair: Sugato Bhattacharyya, University of Michigan

Why Does Cash Coexist with Unused Lines of Credit?
Qi Sun, University of Southern California

Firms’ cash holdings and uncertainty
Ruoran Gao, Cornell University
Yaniv Grinstein, Cornell University

Short Sellers, Institutional Investors, and Corporate Cash Holdings
Zexi Wang, Swiss Finance Institute, University of Zurich

Corporate Cash Hoarding: The Role of Just-in-Time Adoption
Xiaodan Gao, University of British Columbia


Discussants:
Zhiwei Xu, Hong Kong University of Science & Technology
Zhen Wang, Shanghai University of Finance and Economics
Tomislav Ladika, University of Amsterdam
Limin Xu, Nanyang Technological University
Thursday, July 11, 2013
14:45-16:15
Mergers and Acquisitions I - Shanghai Room, 2F
Session Chair: Kai Li, University of British Columbia and China Academy of Financial Research

The Role of Technological Synergy in Mergers and Acquisitions
James Ang, Florida State University
Chaopeng Wu, Xiamen University

Do Banks Monitor Corporate Decisions? Evidence from Bank Financing of Mergers and Acquisitions
Sheng Huang, Singapore Management University
Ruichang Lu, National University of Singapore
Anand Srinivasan, National University of Singapore

Worker-Manager Alliance and Shareholder Returns from Acquisitions
Cong Wang, Chinese University of Hong Kong
Fei Xie, Clemson University

Cross-Border Mergers and Acquisitions: The Role of Private Equity Firms
Mark Humphery-Jenner, University of New South Wales
Zacharias Sautner, University of Amsterdam
Jo-Ann Suchard, University of New South Wales


Discussants:
Jan Bena, University of British Columbia
Pei Shao, University of Lethbridge
Huasheng Gao, Nanyang Technological University
Pedro Matos, University of Virginia
Thursday, July 11, 2013
14:45-16:15
Financial Intermediary Capital - Beijing Room, 2F
Session Chair: Dirk Hackbarth, University of Illinois at Urbana-Champaign

On the Design of Contingent Capital with Market a Trigger
Suresh Sundaresan, Columbia University
Zhenyu Wang, Indiana University and China Academy of Financial Research

Bank Competition and Leverage Adjustments
Fuxiu Jiang, Renmin University of China
Zhan Jiang, Shanghai Advanced Institute of Finance, SJTU
Jicheng Huang, Renmin University of China
Kenneth Kim, Renmin University of China

Money Creation by Banks, Bank Liquidity, and Central Banking
Tianxi Wang, University of Essex

Contingent Capital with Repeated Interconversion between Debt and Equity
Zhaojun Yang, Hunan University
Zhiming Zhao, Hunan University


Discussants:
Tianxi Wang, University of Essex
Vyacheslav Fos, University of Illinois at Urbana-Champaign
Andrea M. Buffa, Boston University
Pab Jotikasthira, University of North Carolina-Chapel Hill
Thursday, July 11, 2013
16:45-18:15
Derivative Securities - Shanghai Room, 2F
Session Chair: Charles Cao, Penn State University & PBC School of Finance, Tsinghua University

Conditional Jump Intensity, Conditional Expected Jump Size, and Relative Stock Price Level
Gang Li, Hong Kong Polytechnic University
Chu Zhang, Hong Kong University of Science & Technology

Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets
Peter Christoffersen, University of Toronto, CBS, and CREATES
Kris Jacobs, University of Houston and Tilburg University
Bingxin Li, University of Houston

Model Specification and Time-varying Jump Intensity: Evidence from S&P500 Returns and Options
Andrew Carverhill, City University of Hong Kong
Dan Luo, Shanghai University of Finance and Economics

Does Option Trading Convey Stock Price Information?
Jianfeng Hu, City University of New York


Discussants:
George Jiang, Washington State University
Xingguo Luo, Zhejiang University
Yintian Wang, School of Economics and Management, Tsinghua University
Shu Yan, University of South Carolina
Thursday, July 11, 2013
16:45-18:15
Information and Securities Prices - Tianjin Room, 2F
Session Chair: Liyan Yang, University of Toronto

Have Financial Markets Become More Informative?
Jennie Bai, Federal Reserve Bank of New York
Thomas Philippon, New York University, NBER and CEPR
Alexi Savov, New York University

Information Leakage and Wealth Transfer in a Connected World
Wenli Huang, Boston University
Hai Lu, University of Toronto
Xiaolu Wang, Iowa State University

Strategic Informed Trades, Diversification, and Expected Returns
Judson Caskey, University of Texas
John Hughes, University of California, Los Angeles
Jun Liu, Shanghai Advanced Institute of Finance, SJTU and University of California, San Diego

Institutional Investors and Equity Prices: Information, Price Impact and Arbitrage
Bing Han, University of Toronto and China Academy of Financial Research
Dongmin Kong, Huazhong University of Science and Technology


Discussants:
Pengjie Gao, University of Notre Dame
Yu Yuan, Shanghai Advanced Institute of Finance, SJTU and WFIC
Liyan Yang, University of Toronto
Jun Li, University of Texas, Dallas
Thursday, July 11, 2013
16:45-18:15
Currency and Exchange Rates - Magnolia Room, 2F
Session Chair: Vivian Yue, Federal Reserve Board of Governors

Currency Premia and Global Imbalances
Pasquale Della Corte, Imperial College London
Steven J. Riddiough, University of Warwick
Lucio Sarno, City University London

Currency Carry Trades and Funding Risk
Sara Ferreira Filipe, University of Luxembourg
Matti Suominen, Aalto University

Variance Risk Premiums and the Forward Premium Puzzle
Juan M. Londono, Federal Reserve Board
Hao Zhou, PBC School of Finance, Tsinghua University

Macroeconomic Fundamentals and Exchange Rate Dynamics: A No-Arbitrage Multi-Country Model
Weiwei Yin, Capital University of Economics and Business


Discussants:
David Ng, Cornell University
Pasquale Della Corte, Imperial College London
Wei Yang, Indiana University
Vivian Yue, Federal Reserve Board of Governors
Thursday, July 11, 2013
16:45-18:15
行为金融 - Jasmine Room, 2F
主持人: 刘玉珍, 北京大学

投资者在倾听周围人的声音吗?——中国金融市场中的“同群效应”研究
贺裴菲, 清华大学经济管理学院
刘淳, 清华大学经济管理学院
廖理, 清华大学五道口金融学院

投资者情绪、投机性偏好与IPO之谜
俞红海, 南京大学
李心丹, 南京大学
耿子扬, 康奈尔大学

卖空约束、外推性偏差与过度自信
刘波, 电子科技大学

投资者情绪、贷款规模与信贷配置效率
刘志远, 南开大学
黄宏斌, 天津财经大学


Discussants:
刘琦, 北京大学
刘淳, 清华大学经济管理学院
史永东, 东北财经大学
唐涯, 北京大学
Thursday, July 11, 2013
16:45-18:15
Security Issuance and Repurchase - Lily Room, 2F
Session Chair: Laura Xiaolei Liu, Hong Kong University of Science & Technology

The Real Effects of Share Repurchases
Heitor Almeida, University of Illinois
Vyacheslav Fos, University of Illinois at Urbana-Champaign
Mathias Kronlund, University of Illinois

Does Political Capital Create Value in the IPO Market? Evidence from China
Qigui Liu, University of Wollongong
Jinghua Tang, University of Wollongong
Gary Tian, University of Wollongong

Shares Pledged and Corporate Repurchase
Konan Chan, National Chengchi University
Hung-Kun Chen, Tanmkang University
Shing-yang Hu, National Taiwan University
Yu-Jane Liu, Peking University

Good Apples, Bad Apples: Sorting Among Chinese Companies Traded in the U.S.
James Ang, Florida State University
Zhiqian Jiang, Xiamen University
Chaopeng Wu, Xiamen University


Discussants:
Azizjon Alimov, City University of Hong Kong
Zhen Wang, Shanghai University of Finance and Economics
Sheng Huang, Singapore Management University
Zhan Jiang, Shanghai Advanced Institute of Finance, SJTU
Thursday, July 11, 2013
16:45-18:15
Governance, Trading, and Manipulation - Beijing Room, 2F
Session Chair: Joseph S. Chen, University of California, Davis

Governance Through Trading: Does institutional trading discipline empire building and earnings management?
Eric Chang, University of Hong Kong
Tse-Chun Lin, University of Hong Kong
Xiaorong Ma, University of Hong Kong

The Invisible Hand of Short Selling: Does Short Selling Discipline Earnings Manipulation?
Massimo Massa, INSEAD
Bohui Zhang, University of New South Wales
Hong Zhang, INSEAD and Cheung Kong Graduate School of Business

Institutional Discipline of Insider Trading through Shareholder Litigation
C.S. Agnes Cheng, Hong Kong Polytechnic University
Henry He Huang, Yeshiva University
Yinghua Li, City University of New York

Executive Compensation Incentives Contingent on Long-term Accounting Performance
Zhi Li, Tulane University
Lingling Wang, Tulane University


Discussants:
Feng Zhang, University of Utah
Egor Matveyev, University of Alberta
Jun Huang, Shanghai University of Finance and Economics
Hyunseob Kim, Cornell University
Thursday, July 11, 2013
19:00–21:00
Conference Dinner & Best Paper Awards - Grand Ballroom ABC, 2F
Friday, July 12, 2013
8:30-10:00
公司治理及高管薪酬 - Lily Room, 2F
主持人: 李善民, 中山大学

虚假陈述与独立董事的监管处罚及其后果
辛清泉, 重庆大学
黄曼丽, 岭南大学
易浩然, 岭南大学

增加管理层薪酬能提高股价信息含量吗?
肖浩, 复旦大学
孔爱国, 复旦大学

公司治理结构与信息披露质量——基于股权分置改革的自然实验证据
周开国, 中山大学
高玮玮, 中山大学

家族企业独立董事的声誉与盈余质量——审计委员会的角色
吕长江, 复旦大学
黄海杰, 复旦大学


Discussants:
肖浩, 复旦大学
周开国, 中山大学
吕长江, 复旦大学
辛清泉, 重庆大学
Friday, July 12, 2013
8:30-10:00
Banking and Financial Institutions - Tianjin Room, 2F
Session Chair: John Boyd, University of Minnesota

Performance Pricing versus Financial Covenants: Agency Costs and Incentive Alignment
Jian Cai, Fordham University
Julian A. Mattes, University of Frankfurt
Sascha Steffen, ESMT European School of Management and Technology

What Do Bankers Know?
Renee Adams, University of New South Wales, FIRN and ECGI
Yanhui WU, Queensland University Technology
Qiaoqiao Zhu, Australian National University

The Monitoring Incentive of Transactional and Relationship Lenders:Evidence from the Syndicated Loan Market
Anthony Saunders, New York University
Pei Shao, University of Lethbridge
Yutao Li, University of Lethbridge

Unsecured Credit Supply over the Credit Cycle: Evidence from Credit Card Mailings
Song Han, Federal Reserve Board
Benjamin J. Keys, University of Chicago
Geng Li, Federal Reserve Board


Discussants:
Yifei Mao, Indiana University
Frank Yu, University of Minnesota
Renee Adams, University of New South Wales, FIRN and ECGI
Xiaoyun Yu, Indiana University and China Academy of Financial Research
Friday, July 12, 2013
8:30-10:00
Behavior in Investments - Magnolia Room, 2F
Session Chair: Kelly Shue, University of Chicago

Looking for Someone to Blame: Delegation, Cognitive Dissonance and the Disposition Effect
Tom Chang, University of Southern California
David Solomon, University of Southern California
Mark M. Westerfield, University of Washington

Exchange-Traded Funds and Equity Return Correlations
Zhi Da, University of Notre Dame
Sophie Shive, University of Notre Dame

Performance-Chasing Behavior and Mutual Funds: New Evidence from Multi-Fund Managers
Darwin Choi, Hong Kong University of Science & Technology
C. Bige Kahraman, SIFR and Stockholm School of Economics
Abhiroop Mukherjee, Hong Kong University of Science & Technology

Labor Market Experiences and Portfolio Choice: Evidence from the Finnish Great Depression
Samuli Knupfer, London Business School
Elias Rantapuska, Aalto University
Matti Sarvimaki, Aalto University,HECER and VATT


Discussants:
Lisa Kramer, University of Toronto
David Solomon, University of Southern California
Mitch Warachka, Claremont McKenna College
Hyunseob Kim, Cornell University
Friday, July 12, 2013
8:30-10:00
Theoretical Asset Pricing - Shanghai Room, 2F
Session Chair: Tan Wang, University of British Columbia and Shanghai Advanced Institute of Finance, SJTU

Asset Pricing with Regime-dependent Preferences and learning
Tony Berrada, University of Geneva
Jerome Detemple, Boston University
Marcel Rindisbacher, Boston University

Asset Pricing under Portfolio Delegation and Differential Information
Navneet Arora, Citadel
Nengjiu Ju, Hong Kong University of Science & Technology and Shanghai Advanced Institute of Finance, SJTU
Hui OU-YANG, Cheung Graduate School of Business

Correlations
Paul Ehling, BI, Norwegian Business School
Christian Heyerdahl-Larsen, London Business School

Production-Based Term Structure of Equity Returns
Hengjie Ai, University of Minnesota
Mariano Croce, University of North Carolina at Chapel Hill
Anthony Diercks, University of North Carolina
Kai Li, Duke University


Discussants:
Liyan Yang, University of Toronto
Jianjun Miao, Boston University
Thomas Maurer, Washington University in St. Louis
Nan Li, National University of Singapore
Friday, July 12, 2013
8:30-10:00
Power, Connections, and Social Responsibility - Beijing Room, 2F
Session Chair: Rajesh Aggarwal, University of Minnesota

Can Socially Responsible Firms Survive Competition? An Analysis of Corporate Employee Matching Grants
Ning Gong, University of Melbourne
Bruce Grundy, University of Melbourne

CEO Power and Decision-Making under Pressure
Vikram Nanda, Georgia Institute of Technology
Sabatino Silveri, State University of New York - Binghamton
Seonghee Han, State University of New York - Binghamton

Revolving Doors on Wall Street
Jess Cornaggia, Indiana University
Kimberly Cornaggia, Indiana University
Han Xia, University of Texas at Dallas

Managerial Accommodation, Proxy Access, and the Cost of Shareholder Empowerment
John Matsusaka, University of Southern California
Oguzhan Ozbas, University of Southern California


Discussants:
Ming Yang, Duke University
Alminas Zaldokas, Hong Kong University of Science & Technology
Thomas Moeller, Texas Christian University
Shan Zhao, Grenoble Ecole de Management
Friday, July 12, 2013
8:30-10:00
Owners, Mangers, and Labor in Corporate Governance - Jasmine Room, 2F
Session Chair: Joseph Fan, Chinese University of Hong Kong

Vertical Interlocks of Executives and Performance of Affiliated Firms in State Owned Chinese Business Groups
Jakob Arnoldi, Aarhus University
Xin Chen, Shanghai Jiaotong University
Chaohong Na, Yunnan University of Finance and Economics

Bank Connection, Corruption and Collateral in China
Xiaofei Pan, University of Wollongong
Gary Tian, University of Wollongong

Are Managers Allied with Shareholders in the Treatment of Employees? Evidence from China
Ninghua Zhong, Hong Kong University of Science & Technology

Labor Representation in Governance as an Insurance Mechanism
E. Han Kim, University of Michigan
Ernst Maug, University of Mannheim
Christoph Schneider, University of Mannheim

Discussants:
Gary Tian, University of Wollongong
Meng Rui, China Europe International Business School
Christoph Schneider, University of Mannheim
Garry Twite, University of Texas at Austin
Friday, July 12, 2013
10:30-12:00
Behavioral Asset Pricing - Magnolia Room, 2F
Session Chair: Bing Han, University of Toronto and China Academy of Financial Research

Linguistic Diversity and Stock Trading Volume
Harrison Hong, Princeton University and NBER
Yen-Cheng Chang, Shanghai Advanced Institute of Finance, SJTU
Larissa Tiedens, Stanford University
Bin Zhao, Shanghai Advanced Institute of Finance, SJTU

Word-of-mouth Communication, Observational learning, and Stock Market Participation
Yu-Jane Liu, Peking University
Juanjuan Meng, Peking University
Wei You, University California, San Diego
Longkai Zhao, Peking University

No News is News: Do Markets Underreact to Nothing?
Stefano Giglio, University of Chicago and NBER
Kelly Shue, University of Chicago

Smooth Trading with Overconfidence and Market Power
Albert Kyle, University of Maryland
Anna Obizhaeva, University of Maryland
Yajun Wang, University of Maryland


Discussants:
Pengjie Gao, University of Notre Dame
Lisa Kramer, University of Toronto
George Gao, Cornell University
Bin Wei, Federal Reserve Board
Friday, July 12, 2013
10:30-12:00
Predictability of Asset Returns - Tianjin Room, 2F
Session Chair: Long Chen, Cheng Kong Graduate School of Business

Seasonality in Predictive Regressions
Shu Yan, University of South Carolina

The Driving Force for Stock Market Skewness: A Systematic Downside Risk Approach to Forecast Market Movements
Eric Jondeau, Swiss Finance Institute & University of Lausanne
Qunzi Zhang, Swiss Finance Institute & University of Lausanne

Demand for Crash Insurance and Stock Returns
Hui Chen, Massachusetts Institute of Technologyn and NBER
Scott Joslin, University of Southern California
Sophie Ni, Hong Kong University of Science & Technology

Market Volatility and Momentum
Kevin Wang, University of Toronto
Jianguo Xu, Beijing University


Discussants:
Zhi Da, University of Notre Dame
Yuhang Xing, Rice University and China Academy of Financial Research
Haitao Li, University of Michigan and Cheung Kong Graduate School of Business
Harrison Hong, Princeton University and NBER
Friday, July 12, 2013
10:30-12:00
Volatility of Stock Prices - Shanghai Room, 2F
Session Chair: Yexiao Xu, University of Texas at Dallas

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
Robert Stambaugh, University of Pennsylvania and NBER
Jianfeng Yu, University of Minnesota
Yu Yuan, Shanghai Advanced Institute of Finance, SJTU and WFIC

What Makes the VIX tick?
Warren Bailey, Cornell University
Lin Zheng, City College of New York
Yinggang Zhou, Chinese University of Hong Kong

The Volatility of Firm`s Assets and The Leverage Effect
Jaewon Choi, University of Illinois
Matthew Richardson, New York University and NBER

Jump-Diffusion Long-Run Risks Models, Variance Risk Premium, and Volatility Dynamics
Jianjian Jin, Bank of Canada


Discussants:
Zhe Zhang, Singapore Management University
ZhongZhi Song, Cheung Kong Graduate School of Business
Qiang Kang, Florida International University
Harold Zhang, University of Texas at Dallas and China Academy of Financial Research
Friday, July 12, 2013
10:30-12:00
货币与宏观经济政策 - Jasmine Room, 2F
主持人: 戴国强, 上海财经大学

中国在价格国际传递链中的“输出性”与“输入性”研究
杨子晖, 中山大学
赵永亮, 暨南大学
田磊, 中山大学

人口结构与利率行为:国际经验与我国长期趋势分析
陈国进, 厦门大学
李威, 厦门大学

货币政策传导的企业资产负债表效应研究(2007—2012)——基于中国数据的实证检验
朱新蓉, 中南财经政法大学
李虹含, 中南财经政法大学

国际货币体系改革进程中两岸四地货币合作的可行性研究——基于OCA指数的实证分析
李雪莲, 西南财经大学
王锦阳, 西南财经大学
邓翔, 四川大学


Discussants:
侯克强, 上海财经大学
韩立岩, 北京航空航天大学
陈利平, 上海财经大学
金洪飞, 上海财经大学
Friday, July 12, 2013
10:30-12:00
The Career of a Director - Beijing Room, 2F
Session Chair: Renee Adams, University of New South Wales, FIRN and ECGI

Matching Directors with Firms: Evidence from Board Structure Following Corporate Spinoffs
David Denis, University of Pittsburgh
Diane Denis, University of Pittsburgh
Mark Walker, North Carolina State University

Reputation Concerns of Independent Directors: Evidence from Individual Director Voting
Wei Jiang, Columbia University
Hualin Wan, Shanghai Lixin University of Commerce
Shan Zhao, Grenoble Ecole de Management

How Do Firms and Directors Choose Each Other? Evidence from a Two-sided Matching Model of the Director Labor Market
Egor Matveyev, University of Alberta

Sugar and Spice and Everything Nice: What Are Good Directors Made of?
Quoc-Anh Do, Singapore Management University
Bang Dang Nguyen, University of Cambridge
P.Raghavendra Rau, University of Cambridge


Discussants:
David Reeb, National University of Singapore and Temple University
Le Zhang, University of New South Wales
Alminas Zaldokas, Hong Kong University of Science & Technology
Tracy Wang, University of Minnesota
Friday, July 12, 2013
10:30-12:00
The Economics of External Financing - Lily Room, 2F
Session Chair: Xiaoyun Yu, Indiana University and China Academy of Financial Research

Asymmetric Information and the Pecking (Dis)order
Paolo Fulghieri, University of North Carolina at Chapel Hill
Diego Garcia, University of North Carolina at Chapel Hill
Dirk Hackbarth, University of Illinois at Urbana-Champaign

Human Capital Loss in Corporate Bankruptcy
John Graham, Duke University and NBER
Hyunseob Kim, Cornell University
Si Li, PBC School of Finance, Tsinghua University
Jiaping Qiu, McMaster University

The Family Firm Puzzle
Ronald Anderson, Temple University
Nan Li, National University of Singapore
David Reeb, National University of Singapore

Legal Enforcement and Debt Maturity Structure: Evidence from a Natural Experiment
Radhakrishnan Gopalan, Washington University in St. Louis
Abhiroop Mukherjee, Hong Kong University of Science & Technology
Manpreet Singh, Hong Kong University of Science & Technology


Discussants:
Rajesh Aggarwal, University of Minnesota
Pab Jotikasthira, University of North Carolina Chapel Hill
Frank Yu, China Europe International Business School
Yifei Mao, Indiana University
Friday, July 12, 2013
12:15–13:30
Conference Lunch - Sui Yuan, 2F
Friday, July 12, 2013
13:30–14:30
Special Workshop
Friday, July 12, 2013
14:00-15:30
Asset Pricing and Corporate Policy - Lily Room, 2F
Session Chair: Jianjun Miao, Boston University

Stochastic Idiosyncratic Operating Risk and Real Options: Implications for Stock Returns
Harjoat Bhamra, University of British Columbia
Kyung Shim, University of New South Wales

Can Investment Shocks Explain the Cross-section of Stock Returns?
Lorenzo Garlappi, University of British Columbia
ZhongZhi Song, Cheung Kong Graduate School of Business

Stock Return, Dividend Growth Predictability --- The Role of Volatility Factors
Tim Bollerslev, Duke University,NBER and CREATES
Lai Xu, Duke University
Hao Zhou, PBC School of Finance, Tsinghua University

R&D Spillover and Predictable Returns
Yi Jiang, California State University, Fullerton
Yiming Qian, University of Iowa
Tong Yao, University of Iowa


Discussants:
Lai Xu, Duke University
Tan Wang, University of British Columbia and Shanghai Advanced Institute of Finance, SJTU
Kyung Shim, University of New South Wales
Laura Xiaolei Liu, Hong Kong University of Science & Technology
Friday, July 12, 2013
14:00-15:30
Monetary Policy and Interest Rate - Jasmine Room, 2F
Session Chair: Haitao Li, University of Michigan and Cheung Kong Graduate School of Business

Monetary Policy and Bank Lending in China—Evidence from loan level data
Dong He, Hong Kong Monetary Authority
Honglin Wang, Hong Kong Monetary Authority

Monetary Policy in a DSGE Model with "Chinese Characteristics''
Chun Chang, Shanghai Advanced Institute of Finance, SJTU
Zheng Liu, Federal Reserve Bank of San Francisco and Shanghai Advanced Institute of Finance, SJTU
Mark Spiegel, Federal Reserve Bank of San Francisco

Preferred-habitat and Demand Factors in the Term Structure: Evidence from the Chinese Bond Market
Longzhen Fan, Fudan University
Canlin Li, Federal Reserve Board
Guofu Zhou, Washington University in St. Louis and China Academy of Financial Research

Understanding Informal Financing
Franklin Allen, University of Pennsylvania
Meijun Qian, National University of Singapore and WFIC
Jing Xie, National University of Singapore


Discussants:
Weina Zhang, National University of Singapore
Canlin Li, Federal Reserve Board
Jun Liu, Shanghai Advanced Institute of Finance, SJTU and University of California, San Diego
Hong Zhang, INSEAD and Cheung Kong Graduate School of Business
Friday, July 12, 2013
14:00-15:30
发展金融 - Beijing Room, 2F
主持人: 阎学民, 密苏里大学哥伦比亚分校

农村金融发展缓解了农村居民内部收入差距吗?——基于中国省际数据的面板门槛回归模型分析
张兵, 南京农业大学
刘丹, 南京农业大学

资本账户开放与宏观经济波动
熊衍飞, 中山大学
陆军, 中山大学
陈郑, 中山大学

金融可得性、金融市场参与和家庭资产选择
尹志超, 西南财经大学
吴雨, 西南财经大学

FDI、出口对中国省级经济增长的影响:基于空间面板模型分析
沈国兵, 复旦大学
张鑫, 复旦大学


Discussants:
尹志超, 西南财经大学
张鑫 复旦大学
刘丹, 南京农业大学
熊衍飞, 中山大学
Friday, July 12, 2013
14:00-15:30
Hedge Funds - Tianjin Room, 2F
Session Chair: Veronika Pool, Indiana University

The Role of Hedge Funds in the Security Price Formation Process
Charles Cao, Penn State University & PBC School of Finance, Tsinghua University
Yong Chen, Texas A&M University
William Goetzmann, Yale University
Bing Liang, University of Massachusetts at Amherst and China Academy of Financial Research

Home Bias and Local Contagion: Evidence from Funds of Hedge Funds
Clemens Sialm, University of Texas at Austin and NBER
Zheng Sun, Uniersity of California, Irvine
Lu Zheng, University of California, Irvine and China Academy of Financial Research

The Economics of Hedge Funds
Yingcong Lan, Cornerstone Research
Neng Wang, Columbia University and Shanghai University of Finance and Economics
Jinqiang Yang, Columbia University and Shanghai University of Finance and Economics

Do Hedge Funds Exploit Rare Disaster Concerns?
George Gao, Cornell University
Pengjie Gao, University of Notre Dame
Zhaogang Song, Board of Governors of the Federal Reserve System


Discussants:
George Gao, Cornell University
Pedro Matos, University of Virginia
Youchang Wu, University of Wisconsin - Madison
Veronika Pool, Indiana University
Friday, July 12, 2013
14:00-15:30
Mergers and Acquisitions II - Shanghai Room, 2F
Session Chair: Hengjie Ai, University of Minnesota

Learning about Target Firms and Pricing of Acquisitions
Jan Jindra, Ohio State University
Thomas Moeller, Texas Christian University

Unrelated Acquisitions
Rajesh Aggarwal, University of Minnesota
Mufaddal Baxamusa, University of St Thomas, Minnesota

Does the Dearth of Mergers Mean More Competition?
Dirk Hackbarth, University of Illinois at Urbana-Champaign
Bart Taub, Durham University

Corporate Ownership and International Mergers and Acquisitions
Jan Bena, University of British Columbia
Kai Li, University of British Columbia and China Academy of Financial Research


Discussants:
Oguzhan Ozbas, University of Southern California
Feng Zhang, University of Utah
Hengjie Ai, University of Minnesota
Nandini Gupta, Indiana University
Friday, July 12, 2013
14:00-15:30
Behavioral Finance: Corporate Finance and Governance - Magnolia Room, 2F
Session Chair: Gilles Hilary, INSEAD
Do Institutions Influence Corporate Behavior? An Analysis of Corporate Social Responsibility
Chuan Yang Hwang, Nanyang Technological University
Sheridan Titman, University of Texas at Austin and China Academy of Financial Research
Ying Wang, Nanyang Technological University

Firm Heterogeneity and Investor Inattention to Friday Earnings Announcements
Roni Michaely, Cornell University and IDC
Amir Rubin, Simon Fraser University and IDC
Alexander Vedrashko, Simon Fraser University

When Firms Talk, Do Investors Listen? The Role of Trust in Stock Market Reactions to Corporate Earnings Announcements
Mikhail Pevzner, George Mason University
Fei Xie, Clemson University
Xiangang Xin, City University of Hong Kong

Shaped by Booms and Busts: How the Economy Impacts CEO Careers and Management Styles
Antoinette Schoar, Massachusetts Institute of Technology, NBER and ideas42
Luo Zuo, Massachusetts Institute of Technology


Discussants:
Bang Dang Nguyen, University of Cambridge
Lei Sun, Shanghai University of Finance and Economics
Charles Hsu, Hong Kong University of Science & Technology
Kasper Meisner Nielsen, Hong Kong University of Science & Technology
Friday, July 12, 2013
16:00-17:30
Fixed Income Securities - Tianjin Room, 2F
Session Chair: Jingzhi Huang, Penn State University

Flights to Safety
Lieven Baele, Tilburg University
Geert Bekaert, Columbia University and NBER
Koen Inghelbrecht, Ghent University and University College Ghent
Min Wei, Federal Reserve Board of Governors

Interest Rate Volatility and No-Arbitrage Term Structure Models
Scott Joslin, University of Southern California
Anh Le, University of North Carolina at Chapel-Hill

Stock Market Illiquidity, Funding Liquidity, and Bond Risk Premia
Kees Bouwman, Erasmus University Rotterdam
Elvira Sojli, Erasmus University and Duisenberg school of finance
Wing Wah Tham, Erasmus University and Tinbergen Institute

In Search of Habitat
Xuanjuan Chen, Shanghai University of Finance and Economics
Zhenzhen Sun, Siena College
Tong Yao, University of Iowa
Tong Yu, University of Rhode Island


Discussants:
Neil Pearson, University of Illinois at Urbana-Champai
Robert Kimmel, National University of Singapore
Jun Tu, Singapore Management University
Paul Ehling, BI, Norwegian Business School
Friday, July 12, 2013
16:00-17:30
Systemic Risk - Shanghai Room, 2F
Session Chair: Zhenyu Wang, Indiana University and China Academy of Financial Research

A Theory of Creditor Rights, Information Sharing, and Bank Risk Taking
John Boyd, University of Minnesota
Hendrik Hakenes, University of Bonn and MPI Bonn

Strategic Risk Taking with Systemic Externalities
Andrea M. Buffa, Boston University

On Bank Credit Risk: Systemic or Bank-Specific? Evidence from the US and the UK
Junye Li, ESSEC Business School
Gabriele Zinna, Bank of England

The Fragility of Short-Term Secured Funding Markets
Antoine Martin, Federal Reserve Bank of New York
David Skeie, Federal Reserve Bank of New York
Ernst-Ludwig von Thadden, Universität Mannheim


Discussants:
Ping He, School of Economics and Management, Tsinghua University
Weiping Li, Oklahoma State University
Jennie Bai, Federal Reserve Bank of New York
John Boyd, University of Minnesota
Friday, July 12, 2013
16:00-17:30
Analysts and Financial Reporting - Beijing Room, 2F
Session Chair: K.C. John Wei, Hong Kong University of Science & Technology

What Are Analysts Really Good At?
Ohad Kadan, Washington University in St.Louis
Leonardo Madureira, Case Western Reserve University
Rong Wang, Singapore Management University
Tzachi Zach, Ohio State University

Identifying Skilled Mutual Fund Managers by their Ability to Forecast Earnings
Hao Jiang, Erasmus University
Lu Zheng, University of California, Irvine and China Academy of Financial Research

Cultural Proximity and the Processing of Financial Information
Qianqian Du, Shanghai Advanced Institute of Finance, SJTU
Frank Yu, China Europe International Business School
Xiaoyun Yu, Indiana University and China Academy of Financial Research

Do Analysts Matter for Governance? Evidence from Natural Experiments
Tao Chen, Chinese University of Hong Kong
Jarrad Harford, University of Washington
Chen Lin, Chinese University of Hong Kong


Discussants:
Xiaoyun Yu, Indiana University and China Academy of Financial Research
Mike Qinghao Mao, Erasmus University
Laura Xiaolei Liu, Hong Kong University of Science & Technology
Lei Sun, Shanghai University of Finance and Economics
Friday, July 12, 2013
16:00-17:30
公司财务 - Lily Room, 2F
主持人: 蒋殿春, 南开大学

银行关联能缓解产业政策带来的融资约束吗?
祝继高, 对外经济贸易大学
韩非池, 北京大学
陆正飞, 北京大学

关联并购是否会损害企业绩效?——基于DEA-SFA二次相对效益模型的研究
李善民, 中山大学
史欣向, 中山大学
万自强, 中山大学

集团内财务危机公司特性与资源流动之研究
池祥萱, 国立东华大学
栾锦荣, 国立东华大学
张家豪, 国立东华大学

策略性盈余管理、信息动量与解禁减持
李曜, 上海财经大学
张子炜, 深圳证券交易所综合研究所
林志伟, 深圳证券交易所综合研究所


Discussants:
马亚明, 天津财经大学
梁琪, 南开大学
田利辉, 南开大学
杨锐, 博时基金
Friday, July 12, 2013
16:00-17:30
Entrepreneurship, Private Equity and Venture Capital - Jasmine Room, 2F
Session Chair: David Reeb, National University of Singapore and Temple University

Patent and Innovation-Driven Performance in Venture Capital-Backed IPOs
Jerry Cao, Singapore Management University
Fuwei Jiang, Singapore Management University
Jay Ritter, University of Florida

Foreign VCs and the Internationalization of Entrepreneurial Firms
Mark Humphery-Jenner, University of New South Wales
Jo-Ann Suchard, University of New South Wales

Do Entrepreneurs Make Good VCs?
Ye Cai, Santa Clara University
Merih Sevilir, Indiana University
Xuan Tian, Indiana University

Churning in Venture Capital Investments
Nishant Dass, Georgia Institute of Technology
Hung-Chia Hsu, University of Wisconsin Milwaukee
Vikram Nanda, Georgia Institute of Technology
Qinghai Wang, Georgia Institute of Technology


Discussants:
Mark Walker, North Carolina State University
Shing-yang Hu, National Taiwan University
William Megginson, University of Oklahoma
Bang Dang Nguyen, University of Cambridge
Friday, July 12, 2013
16:00-17:30
Cost of Capital, Capital Budegting, and Corporate Policies - Magnolia Room, 2F
Session Chair: Sheridan Titman, University of Texas at Austin and China Academy of Financial Research

Supplier-Customer Relationships and Corporate Hedging Policy
Jun-Koo Kang, Nanyang Technological University
Limin Xu, Nanyang Technological University
Lei Zhang, Nanyang Technological University

Captive Finance and Firm’s Competitiveness
Andriy Bodnaruk, University of Notre Dame
William O'Brien, Purdue University
Andrei Simonov, Michigan State University

Can Firms Do Well for Shareholders by Doing Good for Stakeholders? The Importance of Long-Term Investors
Ambrus Kecskes, Virginia Tech
Sattar Mansi, Virginia Tech
Phuong-Anh Nguyen, Virginia Tech

Blocks in Multiple Firms
Massimo Massa, INSEAD
Alminas Zaldokas, Hong Kong University of Science & Technology


Discussants:
Ruoran Gao, Cornell University
Xiaodan Gao, University of British Columbia
Andrei Simonov, Michigan State University
Qi Sun, University of Southern California
Saturday, July 13, 2013
8:30-10:00
Asset Pricing Anomalies - Tianjin Room, 2F
Session Chair: Guofu Zhou, Washington University in St. Louis and China Academy of Financial Research

Two Accrual Anomalies
Qiang Kang, Florida International University
Qiao Liu, Peking University
Rong Qi, St.John's University

Real-Time Profitability of Published Anomalies: An Out-of-Sample Test
Jingzhi Huang, Penn State University
Zhijian (James) Huang, University of Wisconsin-Milwaukee

Explaining the Value Premium around the World: Risk or Mispricing?
Andy C.W. Chui, Hong Kong Polytechnic University
K.C. John Wei, Hong Kong University of Science & Technology
Feixue Xie, University of Texas at El Paso

Time-Series Momentum versus Technical Analysis
Ben Marshall, Massey University
Nhut Nguyen, University of Auckland
Nuttawat Visaltanachoti, Massey University


Discussants:
Canlin Li, Federal Reserve Board
Jun Tu, Singapore Management University
Mitch Warachka, Claremont McKenna College
Yingzi Zhu, School of Economics and Management, Tsinghua University
Saturday, July 13, 2013
8:30-10:00
信息和市场效率 - Jasmine Room, 2F
主持人: 冯芸, 上海交通大学

证券执法加强了分析师的监督治理作用吗?
周铭山, 西南财经大学
林靓, 西南财经大学
许年行, 中国人民大学
黄伟, 西南财经大学

审计意见、信息环境与股票流动性
林志伟, 深圳证券交易所
张子炜, 深圳证券交易所
李曜, 上海财经大学

内幕交易与股票流动性的改善
凌玲, 复旦大学
方军雄, 复旦大学

媒体荐股信息、市场反应与财富流动
李志生, 中南财经政法大学
廖理, 清华大学五道口金融学院
孔东明, 华中科技大学
刘淳, 清华大学经济管理学院


Discussants:
凌玲, 复旦大学
周铭山, 西南财经大学
李志生, 中南财经政法大学
林志伟, 深圳证券交易所
Saturday, July 13, 2013
8:30-10:00
Financial Frictions and Corporate Investment - Lily Room, 2F
Session Chair: Oguzhan Ozbas, University of Southern California

Credit Supply and Corporate Innovation
Mario Amore, Bocconi University
Cedríc Schneider, Copenhagen Business School
Alminas Zaldokas, Hong Kong University of Science & Technology

Corporate Investment and the Option to Repurchase Debt
Brandon Julio, London Business School

Flow-Induced Mispricing and Corporate Investment
Xiaoxia Lou, University of Delaware
Yan Wang, Chinese University of Hong Kong

Investor Protection, Diversification, Investment, and Tobin's q
Yingcong Lan, Cornerstone Research
Neng Wang, Columbia University and Shanghai University of Finance and Economics
Jinqiang Yang, Columbia University and Shanghai University of Finance and Economics


Discussants:
Kelly Shue, University of Chicago
Sheng Huang, Singapore Management University
Luis Goncalves-Pinto, National University of Singapore
Nengjiu Ju, Hong Kong University of Science & Technology and Shanghai Advanced Institute of Finance, SJTU
Saturday, July 13, 2013
8:30-10:00
Credit Risk - Shanghai Room, 2F
Session Chair: Ning Zhu, Shanghai Advanced Institute of Finance, SJTU and University of California, Davis

On Bounding Credit Event Risk Premia
Jennie Bai, Federal Reserve Bank of New York
Pierre Collin-Dufresne, Columbia University and NBER
Robert Goldstein, University of Minnesota and NBER
Jean Helwege, University of South Carolina

Credit Derivatives and Earnings Announcements
George Batta, Claremont McKenna College
Jiaping Qiu, McMaster University
Fan Yu, Claremont McKenna College and Shanghai Advanced Institute of Finance, SJTU

Credit Default Swaps, Strategic Default, and the Cost of Corporate Debt
Gi Kim, University of Warwick

Background Risk and Insurers’ Risk-taking Behavior in the Corporate Bond Market
Xuanjuan Chen, Shanghai University of Finance and Economics
Zhenzhen Sun, Siena College
Tong Yao, University of Iowa
Tong Yu, University of Rhode Island


Discussants:
Fan Yu, Claremont McKenna College and Shanghai Advanced Institute of Finance, SJTU
Yongjun Tang, University of Hong Kong
Hong Yan, Shanghai Advanced Institute of Finance, SJTU & University of South Carolina
Yaxuan Qi, City University of Hong Kong
Saturday, July 13, 2013
8:30-10:00
Incentives and Contracts - Beijing Room, 2F
Session Chair: Bin Wei, Federal Reserve Board

Tug-of-War: Incentive Alignment in Securitization and Loan Performance
Zhonglan Dai, University of Texas at Dallas
Harold Zhang, University of Texas at Dallas and China Academy of Financial Research
Feng Zhao, University of Texas at Dallas

Selecting CEO in Family Firms:The Role of Families’ Human and Social Capital
Joseph Fan, Chinese University of Hong Kong
Sifei Li, Beijing Foreign Studies University

Robust Contracts in Continuous Time
Jianjun Miao, Boston University
Alejandro Rivera, Boston University

Myopic Agency
John Zhu, University of Pennsylvania


Discussants:
Haoxiang Zhu, Massachusetts Institute of Technology
Chaopeng Wu, Xiamen University
John Zhu, University of Pennsylvania
Jianjun Miao, Boston University
Saturday, July 13, 2013
8:30-10:00
Chinese Financial Markets - Magnolia Room, 2F
Session Chair: Charles Cao, Penn State University & PBC School of Finance, Tsinghua University

Mutual Fund Ownership, Firm Specific Information, and Firm Performance: Evidence from China
Wenhua Sharpe, Deakin University
Gary Tian, University of Wollongong
Hong Feng Zhang, Deakin University

Are Investors Irrational? A Study of the Chinese Warrant Market
Yintian Wang, School of Economics and Management, Tsinghua University
Yingzi Zhu, School of Economics and Management, Tsinghua University

Short-selling, Margin-trading and Price Efficiency: Evidence from the Chinese Market
Eric Chang, University of Hong Kong
Yan Luo, Fudan University
Jinjuan Ren, University of Macau

The Investment Decisions of Foreign and Local Investors in Private Equity Funds in China
Sarah Azzi, University of New South Wales
Jo-Ann Suchard, University of New South Wales


Discussants:
Jianing Zhang, Shanghai University of Finance and Economics
Li Gang, Hong Kong Polytechnic University
Yingzi Zhu, School of Economics and Management, Tsinghua University
Xueyong Zhang, Centural University of Finance and Economics
Saturday, July 13, 2013
10:30-12:00
Financial Bubbles and Crisis - Tianjin Room, 2F
Session Chair: Zhiguo He, University of Chicago

Political Influence and Incentive: The Lending Behavior of a State-owned Bank in the Global Financial Crisis
Chun-Yu Ho, Shanghai Jiaotong University
Dan Li, Fudan University
Suhua Tian, Fudan University

Fire-sales and Information Advantage: When Bank-Affiliation Helps
Lei Zhang, Nanyang Technological University
Massimo Massa, INSEAD

Hedging Costs vs. Counterparty Risk: What Explains the Pricing of Structured Products During the 2007-2009 Financial Crisis?
Stefan Petry, University of Melbourne

"Fool Me Once..." U.S. Investors' Responses to the European Debt Crisis
Carol C. Bertaut, Federal Reserve Board
Fang Cai, Federal Reserve Board
Nyssa Kim, Federal Reserve Board


Discussants:
Yunling Chen, School of Economics and Management, Tsinghua University
Jiaren Pang, School of Economics and Management, Tsinghua University
Weina Zhang, National University of Singapore
Hong Zhang, INSEAD and Cheung Kong Graduate School of Business
Saturday, July 13, 2013
10:30-12:00
金融衍生品及风险管理 - Lily Room, 2F
主持人: 吴冲锋, 上海交通大学

美国期货跳跃风险对中国期货的影响及投资价值研究——基于同步交易和异步交易的经验证据
刘庆富, 复旦大学
张金清, 复旦大学

净购买压力的信息含量: 台指期权市场的证据
郑振龙, 厦门大学
吕恺, 中国金融期货交易所
林苍祥, 台湾淡江大学和浙江大学民营经济研究中心

带杠杆效应的条件无穷纯跳跃Levy过程期权定价
吴恒煜, 西南财经大学
朱福敏, 西南财经大学
温金明, 麦吉尔大学

基于广义谱和MCS检验的VaR模型预测绩效评估
张玉鹏, 华东师范大学
洪永淼, 康奈尔大学和厦门大学王亚南经济研究院


Discussants:
刘莉亚, 上海财经大学
冯芸, 上海交通大学
刘海龙, 上海交通大学
覃晓, 上海交通大学
Saturday, July 13, 2013
10:30-12:00
CEOs, Executive Pay and Turnovers - Jasmine Room, 2F
Session Chair: Pedro Matos, University of Virginia

Industry Tournament Incentives
Jeff Coles, Arizona State University
Zhichuan Li, Arizona State University
Albert Wang, Chinese University of Hong Kong

CEO Investment Cycles
Yihui Pan, University of Utah
Tracy Wang, University of Minnesota
Michael Weisbach, Ohio State University

Swinging for the Fences: Executive Reactions to Quasi-Random Option Grants
Kelly Shue, University of Chicago
Richard Townsend, Dartmouth College

Provision of Management Incentives in Bankrupt Firms
Vidhan Goyal, Hong Kong University of Science & Technology
Wei Wang, Queen's University


Discussants:
Rik Sen, Hong Kong University of Science & Technology
Brandon Julio, London Business School
Wei Wang, Queen's University
Sheng Huang, Singapore Management University
Saturday, July 13, 2013
10:30-12:00
Trading and Information - Shanghai Room, 2F
Session Chair: Jialin Yu, Hong Kong University of Science & Technology

The Externalities of High-Frequency Trading
Jiading Gai, University of Illinois, Urbana-Champaign
Chen Yao, University of Illinois, Urbana-Champaign
Mao Ye, University of Illinois, Urbana-Champaign

Analysis of Sentiment, Order Type Choice and Returns
Matthew C. Chang, Hsuan Chuang University
Chih-Ling Tsai , University of California, Davis
Chung-Fern Wu , National Taiwan University
Ning Zhu, Shanghai Advanced Institute of Finance, SJTU and University of California, Davis

Ex Post Equilibria in Double Auctions of Divisible Assets
Songzi Du, Simon Fraser University
Haoxiang Zhu, Massachusetts Institute of Technology

Pre-Trade Transparency and Informed Trading: An Experimental Approach to Hidden Liquidity
Arie Gozluklu, University of Warwick


Discussants:
Pengjie Gao, University of Notre Dame
Peilin Hsieh, Cornell University
Yajun Wang, University of Maryland
Mark Wu, State University of New York- Binghamton
Saturday, July 13, 2013
10:30-12:00
Detecting Financial Distress - Magnolia Room, 2F
Session Chair: Harold Zhang, University of Texas at Dallas and China Academy of Financial Research

Rating Shopping or Catering? An Examination of the Response to Competitive Pressure for CDO Credit Ratings
John M. Griffin, University of Texas at Austin
Jordan Nickerson, University of Texas at Austin
Yongjun Tang, University of Hong Kong

Reading Between the Ratings: Modeling Residual Credit Risk and Yield Overlap
Charles Chang, Shanghai Advanced Institute of Finance, SJTU
Cheng-Der Fuh, National Central University
Michael Kao, National Central University

A Macro Stress Test Model of the Default Risk of Canadian Banking Sector
Fuchun Li, Bank of Canada

Enhanced Stress Testing and Financial Stability
Matthew Pritsker, Federal Reserve Bank of Boston


Discussants:
Han Xia, University of Texas at Dallas
Yongjun Tang, University of Hong Kong
Matthew Pritsker, Federal Reserve Bank of Boston
Fuchun Li, Bank of Canada
Saturday, July 13, 2013
10:30-12:00
Political Economy of Finance - Beijing Room, 2F
Session Chair: Zhongzhi He, Shanghai University of Finance and Economics and Brock Univesity

The Impact of Fiscal Policy on Stock Returns
Zhi Da, University of Notre Dame
Mitch Warachka, Claremont McKenna College
Hayong Yun, University of Notre Dame

The Political Economy of Corporate Finance: Evidence from China's Re-nationalization
Zhangkai Huang, School of Economics and Management, Tsinghua University

Pre-IPO Private Equity Investors and Their Impact on the IPO Process under China's Compliance System
Yao Li, Shanghai University of Finance and Economics
Laura Xiaolei Liu, Hong Kong University of Science & Technology
Ziwei Zhang, Shanghai University of Finance and Economics

When Talk Isn’t Cheap: The Corporate Value of Political Rhetoric
Art Durnev, University of Iowa
Larry Fauver, University of Tennessee
Nandini Gupta, Indiana University


Discussants:
Shu Yan, University of South Carolina
Bin Zhao, Shanghai Advanced Institute of Finance, SJTU
Gary Tian, University of Wollongong
MoqiMark Kamstra, York University
Saturday, July 13, 2013
12:15 – 13:30
Conference Lunch - Sui Yuan, 2F
Saturday, July 13, 2013
14:00-15:30
Market Microstructure - Jasmine Room, 2F
Session Chair: Mao Ye, University of Illinois, Urbana-Champaign

Risk sharing, Costly Participation and Monthly Returns
Terrence Hendershott, University of California Berkeley
Sunny Li, VU University Amsterdam
Albert Menkveld, VU University Amsterdam
Mark Seasholes, Hong Kong University of Science & Technology

Insider Trading, Stochastic Liquidity and Equilibrium Prices
Pierre Collin-Dufresne, Columbia University and NBER
Vyacheslav Fos, University of Illinois at Urbana-Champaign

Short-sale Constraints, Bid-Ask Spreads, and Information Acquisition
Hong Liu, Washington University in St. Louis and China Academy of Financial Research
Yajun Wang, University of Maryland

Transaction Taxes in a Price Maker/Taker Market
Dale Rosenthal, University of Illinois at Chicago
Nordia Thomas, University of Wisconsin-La Crosse
Hefei Wang, University of Illinois at Chicago


Discussants:
Elvira Sojli, Erasmus University and Duisenberg school of finance
Yajun Wang, University of Maryland
Haoxiang Zhu, Massachusetts Institute of Technology
Arie Gozluklu, University of Warwick
Saturday, July 13, 2013
14:00-15:30
人民币、汇率及国际金融 - Tianjin Room, 2F
主持人: 孙谦, 复旦大学

信息透明有利于国际资本流动吗?
刘莉亚, 上海财经大学

人民币成为锚货币了吗?——基于状态空间模型的经验证据
阙澄宇, 东北财经大学
马斌, 东北财经大学

境内外人民币汇率价格关系的定量研究
伍戈, 中国人民银行
裴诚, 中国外汇交易中心

人民币拆借利率的沪港市场关联与差异
陈联, 南京理工大学
李银银, 南京理工大学
陈峰, 南京理工大学
陈婷, 南京理工大学


Discussants:
马斌, 东北财经大学
陈婷, 南京理工大学
刘莉亚, 上海财经大学
伍戈, 中国人民银行
Saturday, July 13, 2013
14:00-15:30
资本市场 - Shanghai Room, 2F
主持人: 杨之曙, 清华大学经济管理学院

中国股票市场IPO询价制度与财富分配效应——兼论询价制度改革的有效性
李心丹, 南京大学
俞红海, 南京大学
耿子扬, 康奈尔大学
李冬昕, 上海证券交易所

中国艺术品投资的收益与特征
石阳, 上海财经大学
李曜, 上海财经大学

不同市场环境下的大额交易与非对称市场冲击
冯建芬, 对外经济贸易大学
王茂斌, 对外经济贸易大学

技术分析与流动性提供者的择时策略:基于中国A股市场的实证研究
李平, 电子科技大学
李文峰, 电子科技大学
曾勇, 电子科技大学
王志刚, 电子科技大学


Discussants:
范龙振, 复旦大学
许年行, 中国人民大学
金洪飞, 上海财经大学
祝继高, 对外经济贸易大学
Saturday, July 13, 2013
14:00-15:30
Understanding Stock Returns - Magnolia Room, 2F
Session Chair: Wei Yang, Indiana University

Predicting Market Returns Using Aggregate Implied Cost of Capital
Yan Li, Temple University
David Ng, Cornell University
Bhaskaran Swaminathan, LSV Asset Management

Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity
Mark Kamstra, York University
Lisa Kramer, University of Toronto
Maurice Levi, University of British Columbia
Tan Wang, University of British Columbia and Shanghai Advanced Institute of Finance, SJTU

Is Sentiment Sentimental?
Steven E. Sibley, Purdue University
Yuhang Xing, Rice University and China Academy of Financial Research
Xiaoyan Zhang, Purdue University and China Academy of Financial Research

Ambiguity Aversion and Variance Premium
Jianjun Miao, Boston University
Bin Wei, Federal Reserve Board
Hao Zhou, PBC School of Finance, Tsinghua University


Discussants:
Nan Li, National University of Singapore
Erica Li, Cheung Kong Graduate School of Business
Egor Matveyev, University of Alberta
ZhongZhi Song, Cheung Kong Graduate School of Business
Saturday, July 13, 2013
14:00-15:30
Global Financial Risk - Beijing Room, 2F
Session Chair: Yuhang Xing, Rice University and China Academy of Financial Research

Sovereign Risk and Financial Risk
Simon Gilchrist, Boston University and NBER
Vivian Yue, Federal Reserve Board of Governors
Egon Zakrajsek, Federal Reserve Board of Governors

The Exodus from Sovereign Risk: Sovereign Ceiling Violations in Credit Default Swap Markets
Jongsub Lee, University of Florida
Andy Naranjo, University of Florida
Stace Sirmans, University of Florida

Endogenous Banks' Networks, Cascades and Systemic Risk
Marcel Bluhm, Xiamen University and CFS
Ester Faia, Frankfurt University, CFS and Kiel IfW
Jan-Pieter Krahnen, Frankfurt University, CFS, CEPR

The Role of Bank Regulation in Systemic Banking Crises: Cross-country Evidence on Bank Risk Taking
Frank Song, University of Hong Kong
Wensi Xie, University of Hong Kong


Discussants:
Sara Ferreira Filipe, University of Luxembourg
Gi Kim, University of Warwick
Matthew Pritsker, Federal Reserve Bank of Boston
Fang Cai, Federal Reserve Board
Saturday, July 13, 2013
14:00-15:30
Real Estate Finance - Lily Room, 2F
Session Chair: Xuanjuan Chen, Shanghai University of Finance and Economics

Should We Fear an Adverse Collateral Effect on Investment in China?
Yongheng Deng, National University of Singapore
Joseph Gyourko, University of Pennsylvania and NBER
Jing Wu, Tsinghua University and Institute of Real Estate Studies, National University of Singapore

Complex Mortgages
Gene Amromin, Federal Reserve Bank of Chicago
Jennifer Huang, Cheung Kong Graduate School of Business
Clemens Sialm, University of Texas at Austin and NBER
Edward Zhong, University of Wisconsin-Madison

When Real Estate is the Only Game in Town: Local Bias and Investments in Second Homes
Hyun-Soo Choi, Singapore Management University
Harrison Hong, Princeton University and NBER
Jeffrey D.Kubik, Syracuse University

The Hidden Peril: The Role of the Condominium Loan Market in the Recent Financial Crisis
Sumit Agarwal, National University of Singapore
Yongheng Deng, National University of Singapore
Wenlan Qian, National University of Singapore
Chenxi Luo, National University of Singapore


Discussants:
Laura Xiaolei Liu, Hong Kong University of Science & Technology
Jingzhi Huang, Penn State University
Song Han, Federal Reserve Board
Jay Wang, University of Oregon
Program Chair:
Hong Yan, Shanghai Advanced Institute of Finance, SJTU & University of South Carolina
Program Co-Chairs:
Sudipto Dasgupta, Hong Kong University of Science and Technology
Bing Liang, University of Massachusetts at Amherst and China Academy of Financial Research
Li Liao, PBC School of Finance, Tsinghua University
Neng Wang, Columbia University and Shanghai University of Finance and Economics
Zhenyu Wang, Indiana University and China Academy of Financial Research