第三届交通大学财务金融国际研讨会

1、第三屆交通大學財務金融國際研討會The 3rd NCTU International Finance Conference會議主題:數量財務與投資分析Conference Theme: Quantitative Finance and Investment Analysis時間(Date): 99年 1 月 15 日(星期五)8: 30 AM -17 : 40 PM(8： 30 AM 17： 40 PM, Friday, January 15, 2010)地點(Location)：國立交通大學浩然圖書館地下一樓國際會議廳(B1, International Conference Hall, L

2、ibrary, National Chiao Tung University)Program Director:Cheng-Few Lee, Foundation of Pacific Basin Financial Research and Development, Taiwan and Rutgers University, USAProgram Co-Director:Kehluh Wang, National Chiao Tung University, Taiwan主辦單位 (Conference Organizers：) 國立交通大學財務金融研究所 財團法人亞太金融研究發展基金會

3、合辦單位 (Conference Co-Organizers：) 臺灣證券交易所 國立中央大學 德明財經科技大學開南大學 贊助單位 (Sponsors:)國際票券金融股份有限公司 財團法人中華民國證券櫃臺買賣中心主辦單位聯絡電話 (TEL) ：(03)5712121 Ext. 57073聯絡地址 (Address)： 300 新竹市大學路 1001號 國立交通大學財務金融研究所交通大學財務金融國際研討會時間表8:309:00報到 Registration9:009:10校長致辭 Welcome Remark 19:109:20院長致辭 Welcome Remark 29:2010:00專題演講

4、 (1) Keynote Speech (1)10:0010:15休息 Tea Break10:1511:45Session I. Investment Analysis (1)Session II. Risk Management (1)11:4513:15午餐 Lunch Time13:1514:55Session III. Risk Management (2)Session IV. Options and Futures14:5515:10休息 Tea Break17:0017:40專題演講 (2) Keynote Speech (2)15:1016:50Session V. Corp

5、orate FinanceSession VI. Investment Analysis (2)研討會議程 Conference Program8:309:00報到 Registration9:009:10校長致辭Welcome Remark 19:109:20院長致辭Welcome Remark 29:2010:00專題演講Keynote SpeechChairperson: Cheng-Few Lee, Foundation of Pacific Basin Financial Research and Development, Taiwan and Rutgers University,

6、 USA Topic: Outlook of Taiwan s Capital MarketSpeaker: Chi Schive, Chairman of Taiwan Stock Exchange Corporation (TWSE)10:0010:15休息 Tea Break10:1511:45Session I. Investment Analysis (1)Chairperson: William T. Lin, Tamkang University, Taiwan 1.2.3.4.Convergence to market efficiency of top losers Yong

7、-Chen Su, National Taiwan University, Taiwan Han-Ching Huang, Chung Yuan Christian University, Taiwan Shih Chun-Chi, National Taiwan University, TaiwanWhat Causes Herding: Information Cascade or Search Cost? William T. Lin, Tamkang University, Taiwan Shih-Chuan Tsai, Ling Tung University, TaiwanDavi

8、d S. Sun, Taiwan Academy of Banking and Finance, TaiwanGeometric Visualization of Dynamic Asset AllocationWei-Fang Niu, G5 Capital Management, Ltd. and National Chiao Tung University, TaiwanKehluh Wang, National Chiao Tung University, TaiwanJenher Jeng, G5 Capital Management, Ltd. and National Chiao

9、 Tung University, TaiwanThe Impact of State Policies on the Relation between Ownership and Firm Value:The Evidence of Chinese Listed FirmsLi Cheng, Providence University, TaiwanYenn-Ru Chen, National Cheng Kung University, Taiwan Jeng-Ren Chiou, National Cheng Kung University, Taiwan Cheng-few Lee,

10、Rutgers University, USA10:1511:45Session II. Risk Management (1)Chairperson: Huimin Chung, National Chiao Tung University, Taiwan 1.Examining the non-monotonic relationship between risk and security returns using the quantile regression approachMing-Yuan Leon Li, National Cheng Kung University, Taiw

11、an2.3.4.An Efficient Valuation of CMS Derivatives under BGM Model Szu-Lang Liao, National Chengchi University, Taiwan Hung-Pin Tsai, National Chengchi University, Taiwan Shih-Kuei Lin, National University of Kaohsiung, TaiwanVaR Estimation under Stochastic Volatility Models Chuan-Hsiang Han, Nationa

12、l Tsing-Hua University, Taiwan Wei-Han Liu, Tamkang University, TaiwanThe Role of Financial Early-warning System11:4513:15午餐 Lunch TimeWei-Yi Lin, Takming University of Science and Technology, Taiwan13:1514:45Session III. Risk Management (2)Chairperson: Mingshu Hua, Takming University of Science and

13、 Technology, Taiwan1. Valuation and Analysis of Basket Credit Linked Notes with Issuer Default Risk Po-Cheng Wu, Kainan University, Taiwan2. Valuing Mortgage Insurance Contracts with Counterparty Risk and Capital ForbearanceChia-Chien Chang, National Kaohsiung University of Applied Science, Taiwan3.

14、4.5.2.13:1514:55Session IV. Options and FuturesChairperson: Wen-Liang Hsieh, National Chiao Tung University, Taiwan 1.Min-Teh Yu, Providence University, TaiwanThe Signaling Effects of Foreign Banking Relationships and Foreign Bank Collaterals on Firm ValueHai-Chin Yu, Chung Yuan University,Ben J. So

15、pranzetti, RutgersUniversity, USA Cheng-Few Lee, RutgersUniversity, USABankruptcy Prediction Based on First-Passage Models with Markovian Credit MigrationCheng-Der Fuh, National Central University and Academia Sinica, Taiwan Chu-Lan Kao, National Taiwan University, TaiwanAlternative Statistical Dist

16、ributions for Estimating Value-at-Risk: Theory and EvidenceCheng-Few Lee, Rutgers University, USAJung-Bin Su, China University of Science and Technology, TaiwanPricing Clustering in U.S. Listed Equity OptionsYi-Chen Wang, National Kaohsiung First University of Science and Technology Yueh-Neng Lin, N

17、ational Chung Hsing University, TaiwanShih-Kuo Yeh, National Chung Hsing University, TaiwanThe incremental value of a futures hedge using realized volatility Yu-Sheng Lai, National Chiao Tung University, Taiwan Her-Jiun Sheu, National Chi Nan University, TaiwanA Time-changed NGARCH model on the leve

18、rage and volatility clustering effects by extreme events: Evidence from the S&P 500 index over the 2008 financial crisisLie-Jane Kao, KaiNan University, Taiwan Po-Cheng Wu, KaiNan University, Taiwan Cheng-Few Lee, Rutgers University, USA3.4. Regime Switching Correlation HedgingHsiang-Tai Lee, Nation

19、al Chi Nan University, Taiwan5. The Economic Value of Volatility Timing Using a Range-based Volatility Model Ray Yeutien Chou, Academia Sinica & National Chiao Tung University, Taiwan Nathan Liu, Feng Chia University, Taiwan14:5515:10休息 Tea Break5.15:1016:50Session V. Corporate FinanceChairperson: K

20、ehluh Wang, National Chiao Tung University, Taiwan 1.2.3.4.Realized Tax Benefit on Structural Models with Optimal Capital Structural ConsiderationTian-Shyr Dai, National Chiao Tung University, Taiwan Wayne Lee, University of Arkansas, USAChuan-Ju Wang, National Taiwan University, TaiwanShare Repurch

21、ases by Financially Constrained Firms Sheng-Syan Chen, National Taiwan University, Taiwan Yanzhi Wang, Yuan Ze University, TaiwanA Study on Financial Performances of Asian Commercial Bank Mergers Sue-Fung Wang, National Chiao Tung University, Taiwan Yu-Chan Lin, National Chiao Tung University, Taiwa

22、nOptimal Payout Ratio Under Perfect Market and Uncertainty: Theory and Empirical EvidenceCheng-Few Lee, Rutgers University, USA Manak C. Gupta, Temple University, USA Hong-Yi Chen, Rutgers University, USA Alice C. Lee, San Francisco State University, USALife-cycle and Equity-Issue Announcement Effec

23、t Jeng-Ren Chiou, National Cheng-Kung University Hsuan-Chu Lin, National Cheng-Kung University Ming-Sian Ethan Syue, National Cheng-Kung University15:1016:50Session VI. Investment Analysis (2)Chairperson: Chuang-Chang Chang, National Central University, Taiwan 1.2.3.4.5.Pricing Dynamic Guaranteed Fu

24、nds Under a Double Exponential Jump Diffusion ModelChuang-Chang Chang, National Central University, Taiwan Min-Hung Tsay, National Central University, TaiwanDoes Firms Going Green Pay Off in the Long-Run? The Case in Taiwan Chin-Chen Chien, National Cheng Kung University, Taiwan Chih-Wei Peng, Asia

25、University, TaiwanYa-Yun Cheng, National Cheng Kung University, TaiwanPrice, Earnings, and Revenue Momentum Strategies Hong-Yi Chen, Rutgers University, USASheng-Syan Chen, National Taiwan University, Taiwan Chin-Wen Hsin, Yuan Ze University, TaiwanCheng-Few Lee, Rutgers University, USAGovernance Mechanisms, Market Feedback, and Equity Pric