Untitled Document

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