6th National Finance Colloquium

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)

Barbecue Hosted by Fayez Elayan

4 Rutgers Place, Northwood, Albany.

Ph: 414 2402

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)
1:40   Panel Discussion - Contemporary Issues in Finance Research

Glenn Boyle
Brian Chrystal
Lawrence Rose

2:10  Question Time

2:30  Close of Colloquium & Pizza Lunch