Friday 8 February

12:00 Welcome & Coffee

12:30 Session 1              

Financial Market Responses to Sovereign Credit Ratings Announcements
Fayez A. Elayan. Massey University (Albany)
Lawrence C. Rose.  Massey University (Albany)

(Full Paper)

1:10 Session 2               

Valuation of ‘Razorback’ Executive Stock Options: A Simulation Approach
Joe Cheung. The University of Auckland
Charles J. Corrado. The University of Auckland

(Full Paper)

1:50 Session 3               

Extracting expectations of New Zealand's Official Cash Rate from the bank-risk yield curve
Leo Krippner. Reserve Bank of New Zealand

(Full Paper)

2:30 Afternoon Tea

3:00  Session 4              

Modelling the Demand for Money in New Zealand
Daniel Choi. University of Waikato
Les Oxley. University of Waikato

(Full Paper)

3:40 Session 5               

Detection of Financial Time Series Turning Points: A New CUSUM Approach Applied to IPO Cycles
David Blondell. University of Otago
Philip Hoang. University of Queensland
John G. Powell. University of Otago
Jing Shi. Australian National University

(Full Paper)

4:20 Session 6                

A comparison of interest rate option models on Australian Bank Bill Futures
Philip Dempster. Transpower New Zealand Ltd
Scott Chaput. University of Otago
Alan Stent. University of Otago

(Full Paper)

Saturday 9 February

8:00 Breakfast Coffee & Bagels

8:30 Session 1                

How High A Hedge Is High Enough? An Empirical Test of NZSE10 Futures.
Liping Zou. Massey University (Albany)
William R. Wilson. Massey University (Albany)
John F. Pinfold. Massey University (Albany)

(Full Paper)

9:10 Session 2               

Trends in foreign exchange Trading
Lauren Rosborough, Reserve Bank of New Zealand

(Full Paper)

9:50 Session 3               

The Financial Impacts of Securities Class Action Suits
Chris Malone. Massey University

(Full Paper)

10:30 Morning Tea

11:00  Session 4             

Financing Constraints and Investment Timing
Glenn Boyle. University of Otago
Graeme Guthrie. Victoria University of Wellington

(Full Paper)

11:40  Session 5             

The Fama-French Model, Leverage and the MM Propositions
Martin Lally. Victoria University of Wellington

(Full Paper)

12:20 Session 6              

Extracting market expectations from option prices: an application to over-the-counter New Zealand dollar options
Áron Gereben. Reserve Bank of New Zealand

(Full Paper)

1:00 Session 7                

Have New Zealand Banks really become more efficient?
David Tripe. Massey University

(Full Paper)

2:10  Question Time

2:30  Close of Colloquium & Pizza Lunch