Preliminary Programme for the 14th New Zealand Finance Colloquium

All sessions are held at the University of Auckland Business School, Owen G. Glenn Building, Auckland University City Campus.
On every floor there are floor maps near the elevators.

Thursday 11th February | Friday 12th February

11th - 12th February, 2010

Thursday 11th February 2010

11:00am - 12:30pm

SIRCA Session
Venue: Decima Glenn Side C

12:30pm -1:30pm

Lunch
Venue: Decima Glenn Side C

1:30pm - 3:00pm

Session 1A: Microstructure
Venue: 215
Chair: Henk Berkman

 

Zero-value Company Returns, Thin Trading and the Use of State Asset Pricing Models in Event Study Research

Warwick Anderson

 

The impact of the introduction of broker anonymity on the New Zealand Exchange

Alastair Marsden, Russell Poskitt and Jingfei Shen

 

Dispersion of Opinions, Limits to Arbitrage and Overnight Returns.

Henk Berkman, Paul Koch, Laura Tuttle

1:30pm - 3:00pm

Session 1B: Volatility
Venue: 219
Chair: Bart Frijns

 

Graphical models of multivariate volatility.

Althea Rea, William Rea, Marco Reale, Carl Scarrott and Giuseppe Storti

 

A Volatility Targeting GARCH Model with Time-Varying Coefficients.

Bart Frijns, Thorsten Lehnert, and Remco C.J. Zwinkels

 

Volatility Spillovers on Sectoral Equity Indices in New Zealand

Faruk Balli

3:00pm - 3:30pm

Afternoon Tea
Venue: Decima Glenn Side C

3:30pm - 5:00pm

Session 2A: Corporate Governance
Venue: 215
Chair: Chris Malone

 

The Effectiveness of Board Ownership Structures in New Zealand

Zak Darby and Helen Roberts

 

Investing and Financing Cash Flow Disclosure Requirements—Value Relevant?

Chris Malone, Udomsak Wongchoti, and Alan J. Mitchell

 

Corporate governance, financing pattern and cost of capital: Evidence from New Zealand companies

Hardjo Koerniadi

3:30pm - 5:00pm

Session 2B: Asset Returns
Venue: 219
Chair: Philip O’Connor

 

International comparison of returns from conventional, industrial and 52-week high momentum strategies

Kartick Gupta, Stuart Locke, and Frank Scrimgeour

 

Sectoral Equity Returns in the Euro Region: Is There any Room for Reducing the Portfolio Risk?

Faruk Balli and Hatice Ozer-Balli

 

The Relationship between Stock Prices and Exchange Rate Fluctuations: New Zealand Evidence.

Shuzhen Deng and Philip O'Connor

6:30pm -

Dinner
Venue: Mai Thai Restaurant, 57B Victoria Street West
(Corner of Victoria & Albert Streets)

Friday 12th February 2010To Top

8:30am - 9:00am

Coffee
Venue: Decima Glenn Side C

9:00am - 10:30am

Session 3A: Options
Venue: 215
Chair: Toby Daglish

 

Lattice methods for no-arbitrage pricing of interest rate securities

Toby Daglish

 

An Analytical Model for the Break-Even Credit Default Swap Spread with No Counterparty Default Risk in Hull (2009): A Pedagogical Approach.

Daniel Choi

 

The Informational Role of Options Trading Volume in the Australian Index Options Market

Klaus Buhr, Xiaoming Li, and Lawrence C. Rose

9:00am - 10:30am

Session 3B: Corporate Finance
Venue: 219
Chair: Martin Lally

 

Beta, Leverage and Debt Policy.

Martin Lally

 

Determinants of Different Modes of FDI: Firm-Level Evidence from Japanese FDI into the US.

Peiming Wang, Donghyun Park, and Joseph D. Alba

 

Default Option and Optimal Capital Structure in Real Estate Investment.

Jyh-Bang Jou and Tan (Charlene) Lee

10:30am - 11:00am

Morning Tea
Venue: Decima Glenn Side C

11:00am - 12:30pm

Session 4A: Banking
Venue: 215
Chair: Dimitris Margaritis

 

Contagion Risk in the Australian Banking and Property Sectors.

Amelia Pais and Philip A. Stork

 

Asymmetric Information and Price Competition in Small Business Lending.

Ming-Hua Liu, Dimitris Margaritis and Alireza Tourani-Rad

 

Report of the (New Zealand) Parliamentary Inquiry into Banking – a rejoinder and a commentary.

David Tripe

 

Switching Costs in Banking: The Regulatory Response.

Claire Matthews

11:00am - 12:30pm

Session 4B: Behavioural Finance
Venue: 219
Chair: Ben Marshall

 

Investor Sentiment, Stock Returns, and Volatility: An Investigation of the US, European, and Asia-Pacific Markets.

David G. Barr, Chienwei Ho, and Chi-Hsiou Hung

 

Piety and Profits: Stock Market Anomaly during the Muslim Holy Month.

Jedrzej Bialkowski, Ahmad Etebari, and Tomasz Wisniewski

 

Sell the Rumor, Buy the Fact?

Ben Marshall, Nuttawat Visaltanachoti, and Genevieve Cooper

12:30pm -

Lunch and Prize Giving
Venue: Decima Glenn Side C