Friday 28th January 2005
1.30pm - 3pm Session 1-A
Asset Pricing Theory
Govt. Buildings L/Theatre 1
  Session 1-B
Microstructure
Govt Buildings L/Theatre 3

  Inflation Expectations, Risk Aversion and Asset Allocation in an Equilibrium Approach

Abdullah Mamun and Nuttawat Visaltanachoti
  The Impact of Overnight Options Introduction: Evidence from the Sydney Futures Exchange

Liping Zou, Lawrence Rose, John Pinfold and Henk Berkman
  The Cost of Capital, the CAPM and the Market Price of Risk

Glenn Boyle
 

Realised Variance in the Presence of non-IID Microstructure Noise: A Structural Approach

Bart Frijns and Thorsten Lehnert

  Option Pricing Under Variance-Gamma Dynamics when the Parameters are Stochastic

Kyriakos Chourdakis
  Price Discovery in Tick Time


Bart Frijns and Peter Schotman
3.20pm - 5.00pm

Session 2-A
International
Govt. Buildings L/Theatre 1

 

Session 2-B
Insider Behaviour and Institutions
Govt. Buildings L/Theatre 3

  Market Integration and Extreme Correlation in APEC Emerging Equity Markets

Xiao-Ming. Li and Lawrence Rose
  Insiders and the Law: The Impact of Regulatory Change on Insider Trading

Aaron Gilbert, Alireza Tourani-Rad and Tomasz Wisniewski
 

Convergence Trends Amongst International Stock Markets

Dimitri Margaritis and Gary Feng

 

Do Insiders Crowd Out Analysts?

Aaron Gilbert, Alireza Tourani-Rad and Tomasz Wisniewski

  Choice of Foreign Listing Location

Ting Yang and Sie Ting Lau
  Price Bundling in the Student Banking Market

Xiao Yao and Claire Matthews
  The Relative Importance of Sector Versus Country Effects

Jianguo Chen, Ting Zheng and Andrea Bennett

  Conjectural Guarantees Loom Large: Evidence from the Stock Returns of Fannie Mae and Freddie Mac

Frank Schmid
Saturday 29th January 2005
9.00am - 10.30am

Session 3-A
Event Studies
Rutherfore House L/Theatre 2


 

Session 3-B
Monetary Policy
Rutherford House L/Theatre 3

 

Share Repurchase in New Zealand

Hardjo Koerniadi
  Investigating the Relationships between the Yield Curve, Output and Inflation using an Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models

Leo Krippner
  The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly

Edwin Maberly and Raylene Pierce
  OCR: New Zealand 's Inflation Fighting Tool


William Wilson and Eric Li
  The Valuation Effects of Bank Loan Ratings in the Presence of Multiple Monitors

Fayez Elayan, Wei-Huei Hsu and Thomas Meyer
  Monetary Transmission via the Administered Interest Rates Channel

Beng-Soon Chong, Ming-Hua Liu and Keshab Shrestha
10.50am - 12.30pm

Session 4-A
Fund Performance and Earnings Multiples
Rutherford House L/Theatre 2

 

Session 4-B
Mixed Portfolio
Rutherford House L/Theatre 3

  New Zealand Mutual Fund Performance


Rob Bauer, Roger Otten and Alireza Tourani-Rad
  The Conditional Relation between Beta and Returns: the New Zealand Case

Daniel Choi, Daniel Chai and Tian Fu
  A Critique of Market (In)Efficiency: The Return Performance of the Marketocracy Masters 100 Stock Fund

Andre Bate and Edwin Maberly
  Return and Volatility Spillovers from Developed to Emerging Capital Markets: The Case of South Asia


Yun Wang, Abeyratna Gunasekarage and David Power
  Predictability and Trading Strategies of the US-based International Mutual Funds


Imtiaz Mazumder, Edward Miller and Atsuyuki Naka
  Investors Dilemma: The Volatility of the New Zealand Exchange Rate: Short Term Performance of the NZ Dollar versus the US Dollar

Klaus Buhr, Lawrence Rose and Xiaoming Li
  Transitions in the Relation between Earnings and Earnings Valuation Multiples

Christopher Malone and John Powell
  CEO Compensation in New Zealand 1997 2002


Helen Roberts