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2016 Asian Finance Association

Annual Meeting

June 26-28, 2016

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Conference Sponsors

The Stock Exchange of Thailand (SET) is a juristic entity set up under the Securities Exchange of Thailand Act, B.E. 2517 (1974). Its mandate is to be a market for the trading of listed securities, a promoter of personal financial planning and provider of related services.

Market for Alternative Investment (mai) has been established under the Securities Exchange of Thailand Act. The objective is to create new fund-raising opportunities for innovative business with high potential growth as well as provide a greater range of investment alternatives for investors. It officially commenced operation on June 21, 1999.

Bond Electronic Exchange (BEX) was officially launched by the Stock Exchange of Thailand on November 26th, 2003. BEX's primary goal is to develop all facets of the Thai bond market to reach an international standard, on par with other mature bond markets in the rest of the world. In addition, the institution of an electronic trading platform like BEX is a step of progress towards creating a vibrant Asian Bond Market, whose development and progress would contribute to the stabilization of the regional economy.

Thailand Futures Exchange Pcl (TFEX), a subsidiary of The Stock Exchange of Thailand (SET), was established on May 17, 2004 as a derivatives exchange. TFEX is governed by the Derivatives Act B.E. 2546 (2003). TFEX's mission is to be a world-class exchange for the trading and hedging of derivatives products. TFEX will accomplish its mission by offering an efficient infrastructure to its market participants, with easy access and at a reasonable cost, while striving to maintain a fair, orderly and transparent market.

Thailand Securities Depository Co., Ltd. (TSD) The TSD is a one-stop center for post-trade securities services related to trading on The Stock Exchange of Thailand and offers post-trade services for other exchanges as well, The TSD provides three types of services; 1) Securities depository services: The TSD is a central securities depository for equity and fixed income debt instruments, using a secure and efficient scripless system. 2) Securities registration services: The TSD is a registrar for common and preferred stocks. It also offers registrar-related services, mainly preparing and maintaining registry books to ensure that they contain correct, complete, and timely information. The TSD delivers its services using a cutting-edge and efficient computer system that is directly linked to the Exchange's Securities Depository Center. 3) Provident fund registration services: The TSD is a registrar for provident funds, offering all registry-related services, including requesting employers to deposit into their employees' savings accounts, and employer's granted deposit, preparing

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and updating provident fund member lists, and calculating and recording such deposits.

Thailand Clearing House Co., Ltd. (TCH) The TCH is a clearinghouse for all securities and derivatives traded on the SET, mai, BEX, TFEX and all debt instruments traded on the over-the-counter market. The TCH's most important role is to serve as the central counterparty to all trading activities on those exchanges. Thus, the TCH will guarantee clearing and settlement for all concerned parties to a given trade, no matter which counterparty may break its commitment..Performing this function well is crucial to greatly lessening counterparty risks and generating confidence among all market participants.

Settrade.com Co., Ltd. was established by The Stock Exchange of Thailand (SET) on October 13, 2000. The company has operated since November 13, 2000 to provide Internet trading platforms and leverage investment technology for brokerage houses in order to accommodate retail investors with increasing trading channels. Settrade's mission also includes developing computerized systems related to securities business. In addition, the company was appointed as the official selling agent and marketer of the SET's information products to ensure the efficiency of the information dissemination to investors and other market participants such as data vendors, brokers, research houses, and press.

Thailand Securities Institute (TSI) was established in 2000 by SET as a center to promote financial and investment management knowledge for people of all ages. Its mission is to build financial literacy and investment knowledge, as well as disseminate information through various learning channels and techniques.

Capital Market Academy (CMA), a department under SET founded in 2005, conducts a specifically designed executive program called the "Capital Market Academy Leader Program”. The objectives of the program are to develop high-quality capital market education/knowledge to assist executives to effectively respond to the fast changing global and local markets' conditions and competitions.

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Contents

Greetings from the President of Asian Finance Association 1

Welcome Message from the Chair of the Organizing Committee 2

About The Stock Exchange of Thailand 3

Conference Program at a Glance 5

General Information 7

Keynote Speakers 8

Committee – Asian Finance Association Annual Meeting 2016 10

Organizing Committee 16

Asian Finance Association Board of Directors 17

Best Paper Awards 18

Conference Program 19

Participant Index 46

1

Greetings from the President of Asian Finance Association

Welcome to the 28th Annual Meeting of the Asian

Finance Association in Bangkok, Thailand. I would like to

thank Professor Ronald W. Masulis, Scientia Professor in

Finance and Macquarie Group Chair of Financial Services

of UNSW School of Business, UNSW and Mrs. Kesara

Manchusree, President, The Stock Exchange of Thailand

(SET) for participating in this year’s annual meeting as

the keynote speakers. I also would like to express

sincere thanks to the three program co-chairs:

Associate Professor and Dr. Kulpatra Sirodom of Thammasat University and Strategic CFO Program Advisory, Thailand Securities Institute, The Stock Exchange of Thailand

Professor Sun Qian, Department Chair of the Department of Finance, Fudan University (China)

Associate Professor and Dr. Yupana Wiwattanakantang, Department of Finance, National University of Singapore

Special thanks to The Stock Exchange of Thailand, the host institution and the senior members who served on the Organizing Committee for the planning, coordination and hospitality for this wonderful event.

Dr. Santi Kiranand, Executive Vice President, The Stock Exchange of Thailand

Mr. Kirati Kosicharoen, Senior Vice President, The Stock Exchange of Thailand

Dr. Surin Maneevitjit, Deputy Head, The Stock Exchange of Thailand

I wish every participant a productive conference and an enjoyable stay in Bangkok.

S. Ghon Rhee, President

Asian Finance Association

K. J. Luke Distinguished Professor of

International Banking and Finance

Shidler College of Business

University of Hawai’i

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Welcome Message from the Chair of the Organizing Committee

The 2016 annual meeting of the Asian Finance Association commences today. On behalf of

The Stock Exchange of Thailand, I would like to thank the Asian Finance Association for

giving us the opportunity to host this event. With great honor, we have Mrs. Kesara

Manchusree and Ronald W. Masulis here as our keynote speakers of the conference. I wish

to extend a warm welcome and express my heartfelt thanks to those who participate in this

year conference. And I also would like to express my gratitude to our sponsor – SIAM

COMMERCIAL BANK (SCB).

The Asian Finance Association annual conference provides an open platform for finance

scholars and practitioners around the world to meet and share their recent and exchange

ideas on the latest developments in finance. This year, the conference brings many

academic experts and scholars to Bangkok to discuss today’s hot finance issues, positively

impact communication and dialogue in finance, and promote the development in financial

research. We hope to gain a better understanding of the latest development in various

research fields.

This year conference has received many excellent papers from around the world. All the

papers have been double-blind reviewed by a committee of established researchers and the

best papers will be presented. I want to thank all of who devote yourselves to the financial

research field for sharing your latest research with others in this conference.

At last, I sincerely wish the conference a great success. And hope you all have a memorable

stay in Bangkok.

Thank you !

Surin Maneevitjit Deputy Head, The Stock Exchange of Thailand Chair of the Organizing Committee of 2016 Asian Finance Association Annual Meeting

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About The Stock Exchange of Thailand

The Stock Exchange of Thailand (SET), with its proven success during the last 40 years, has

progressed to become a leading regional capital market. SET is a dynamic exchange offering

a full range of financial products (equities, debt instruments, and derivatives) and services

with world-class trading infrastructure. Currently, SET recorded the most liquid market in

ASEAN for the third consecutive year in 2014 with the largest IPO in 2013 and one of the

top-notch corporate governance scores in ASEAN. On top of this, MSCI Global Standard

Indices and Dow Jones Sustainability Index (DJSI) have added Thai stocks in calculating its

indices, the highest rise of stocks for this purpose in Asia, and Thai listed companies having

topped the ASEAN corporate governance scorecard. FTSE upgrades SET to the advanced

emerging market because of its recent significant development.

SET has played a major role in the development of the regions’ economy. SET has developed

connection with Singapore and Malaysia on the ASEAN link network connecting to the other

developed ASEAN markets. In addition, SET has become a leading regional exchange

especially in Greater Mekong Subregion (GMS), taken important roles for regional capital

market development by collaborating with LAOS, Myanmar, Vietnam and Cambodia, in

order to promote capital market sustainability for the region as a whole.

SET appreciates the importance of capital market education for individuals, investors and

general public. Thailand Securities Institute (TSI) was established in 2000 by SET as a center

to promote financial and investment management knowledge for people of all ages. Its

mission is to build financial literacy and investment knowledge, as well as disseminate

information through various learning channels and techniques. For investor and

professional education, TSI has conducted various programs through TSI’s network with 21

MOU universities such as; “Young Financial Star competition” (focusing on financial planning

and investment knowledge for university students), “SET on campus” (SET’s regular visit and

road show activity at SET’s network universities), “SET Investment Center” at key network

universities (to be an information and activity center for investment knowledge and

securities market information for students, investors and general public throughout

Thailand). TSI has successfully promoted continuous savings and investment campaigns for

local.

SET has also established the Capital Market Research Institute (CMRI) to conduct and

disseminate in-depth capital market research and leading indicators of Thai capital market

to benefit stakeholders and Thai people. The CMRI continues to establish platforms where

market practitioners and academic researchers contribute the knowledge for the long-term

development of Thai capital market such as; “Capital Market Research Forum” (held

monthly for researchers to present valuable findings to investors, listed companies and the

media, as well as acting as a forum for capital market experts to exchange views on key

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issues), “Research Symposium” (held annually, is attended by prominent capital market

researchers, experts and professionals).

Capital Market Academy (CMA), a department under SET founded in 2005, conducts a

specifically designed executive program called the "Capital Market Academy Leader

Program”. The objectives of the program are to develop high-quality capital market

education/knowledge to assist executives to effectively respond to the fast changing global

and local markets' conditions and competitions. Among others, participants in the program

include senior executives from financial institutions, blue-chip corporations, as well as

senior policy makers from various governmental agencies. The program emphasizes on

activities-based and experience-oriented learning.

Lastly, The Stock Exchange of Thailand has lots of experiences in hosting various

international events such as; “WFE General Assembly and Annual Meeting” in 1999,

“EAOSEF General Assembly and Annual Meeting” in 2002, “ASEAN Exchanges CEOs

Meeting” in 2007, 2009, and 2011, “AOSEF Working Committee” in 2012, “GMS Capital

Market Education Forum” in 2013, etc.

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Conference Program at a Glance

Conference registration: 1:00 pm - 5:00 pm; Location : Anantara Siam Hotel lobby

Asian Finance Association Board Meeting: 2:00 pm - 4:00 pm; Location: SuriyanChandhra Room, Anantara Siam Hotel

Tour of The Exchange & Welcome Reception: 5:00 pm - 6:30 pm; Location: The Stock Exchange of Thailand Bldg.

Conference registration : 8:30 am - 10:30 am; 1:15 pm - 5:00 pm Location : Ballroom, Anantara Siam Hotel

8:30 am - 10:30 am Session 1 - 8 (8 Breaking Rooms)

10:30 am - 10:45 am Coffee Break at Ballroom

10:45 am - 11:00 am Opening Ceremony

11:00 am - 11:15 am Welcome Remarks by Dr. Santi Kiranand

11:15 am – 11:40 am Keynote Speech by Khun Kesara Manchusree

11:40 am – 12:00 am Group Photo Session

12:00 pm - 1:00 pm Lunch at Montienthip Room

1:15 pm - 3:15 pm Session 9 - 16 (8 Breaking Rooms)

3:15 pm - 3:30 pm Coffee Break at Conference Room Hallways

3:30 pm - 5:30 pm Session 17 - 24 (8 Breaking Rooms)

6:30 pm - 8:30 pm Board Dinner (hosted by SET) / Free time for participants

Conference registration : 8:30 am - 10:30 am; 1:15 pm - 5:00 pm Location : Ballroom, Anantara Siam Hotel

8:30 am - 10:30 am Session 25 - 32 (8 Breaking Rooms)

10:30 am - 10:45 am Coffee Break at Ballroom

10:45 am - 11:45 am Keynote Speech by Professor Ronald W. Masulis

11.45 am - 12.00 pm AGM Meeting

12:00 pm - 1:00 pm Lunch at Montienthip Room

1:15 pm - 3:15 pm Session 33 - 40 (8 Breaking Rooms)

3:15 pm - 3:30 pm Coffee Break at Conference Room Hallways

3:30 pm - 5:30 pm Session 41 - 48 (8 Breaking Rooms)

6:30 pm - 8:30 pm Gala Dinner and Paper Awards at Ballroom

June 26, 2016 (Sunday)

June 27, 2016 (Monday)

June 28, 2016 (Tuesday)

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Sessions information

6/27/2016

Breaking Room 8:30 am - 10:30 am 1:15 pm - 3:15 pm 3:30 pm - 5:30 pm

Amorn Session 1:

Asset Pricing Theory 1 Session 9:

Asset Pricing Behavioral 1 Session 17:

Asset Pricing Behavioral 2

Ratana Session 2:

Asset Pricing Empirical 1 Session 10:

Asset Pricing Empirical 2 Session 18:

Asset Pricing Empirical 3

Kosin Session 3:

Asset Pricing Empirical 4 Session 11:

Corporate Finance Theory 1 Session 19:

Corporate Finance Empirical 1

Napa Session 4:

Corporate Finance Empirical 2 Session 12:

Corporate Finance Empirical 3 Session 20:

Corporate Finance Empirical 4

Dara Session 5:

Corporate Finance Empirical 5 Session 13:

Corporate Finance Empirical 6 Session 21:

Corporate Finance Empirical 7

Suriyan Session 6:

Corporate Finance Empirical 8 Session 14: Derivative 1

Session 22: Special session

Chandra Session 7:

Financial Intermediation 1 Session 15:

Financial Intermediation 2 Session 23:

International Finance 1

Busaba Session 8:

Market Microstructure 1 Session 16:

Market Microstructure 2 Session 24:

Market Microstructure 3

6/28/2016

Breaking Room 8:30 am - 10:30 am 1:15 pm - 3:15 pm 3:30 pm - 5:30 pm

Amorn Session 25:

Asset Pricing Theory 2 Session 32:

Asset Pricing Behavioral 3 Session 39:

Asset Pricing Empirical 5

Ratana Session 26:

Asset Pricing Empirical 6 Session 33:

Asset Pricing Empirical 7 Session 40:

Asset Pricing Empirical 8

Kosin Session 27:

Corporate Finance Empirical 11 Session 34:

Corporate Finance Empirical 9 Session 41:

Corporate Finance Empirical 10

Napa Session 28:

Corporate Finance Empirical 14 Session 35:

Corporate Finance Empirical 12 Session 42:

Corporate Finance Empirical 13

Dara Session 29:

International Finance 2 Session 36:

Corporate Finance Empirical 15 Session 43:

Corporate Finance Empirical 16

Suriyan Session 30:

Corporate Finance Empirical 17 Session 37: Derivative 2

Session 44: Financial Intermediation 3

Chandra Session 31:

Financial Crisis 1 Session 38:

Practitioner session 1

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General Information

Registration

Registration and conference administration will be open:

Sunday, 26 June: 1.00 – 5.00 p.m.

Monday, 27 June: 8:30 am - 10:30 am; 1:15 pm - 5:00 pm

Tuesday, 28 June: 8:30 am - 10:30 am; 1:15 pm - 5:00 pm

Location: Ballroom, Anantara Siam Hotel

Asian Finance Association Annual General Meeting

Tuesday, 28 June: 11.45 am - 12.00 pm

Location: Ballroom, Anantara Siam Hotel

Conference Dinner

Tuesday, 28 June: 6:30 pm - 8:30 pm

Location: Ballroom, Anantara Siam Hotel

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Keynote Speakers

Kesara has profound knowledge and strong expertise in the financial industry and capital

market. During her extensive 30-year career, her work has covered practically all sectors of

financial industry. During her 11 years at SET, she has been in charge of several

departments, including marketing, derivatives and market development. Prior to being SET

president, she was executive vice president and head of Market Division, as well as

managing director of Thailand Futures Exchange PCL (TFEX).

Her significant performances involved several initiatives such as setting up TFEX, Thailand’s only financial derivatives exchange, covering both futures and options of equities, fixed income instruments, foreign exchange rates and commodities. TFEX has shown continuous growth in volume and rank number 2 in ASEAN. She was also instrumental in setting up the bond electronic trading platform which has continuously been equipped with advanced technology. Her visionary and analytical assets have enabled her to create many financial products and instruments for SET and the Thai Bond Market Association. She has actively been involved in SET’s various activities to promote financial literacy and nationwide savings campaign, as such enhancing the financial profession and the Thai economy. Her leadership, unique qualities and enthusiasm have made progress in driving the Thai capital market to be well-accepted as one of the regional and world leaders. She is committed to sustainability development for SET and the listed companies, covering corporate governance, social responsibilities and other aspects.

Mrs. Kesara Manchusree

President, The Stock Exchange of Thailand (SET)

“ASEAN Financial Markets: SET’s challenges and opportunities”

27 June 2016 11:15 am – 11:40 am

Location: Ballroom

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Keynote Speakers

Ron Masulis is a Scientia Professor and the Macquarie Group Chair of Financial Services at

the UNSW School of Business, University of New South Wales and was recently a

distinguished visiting research professor at NYU’s Stern School of Business. He has held

positions at Vanderbilt University, Southern Methodist University, UCLA, the U.S. Securities

and Exchange Commission, the Federal Saving and Loan Insurance Corporation and the

Federal Home Loan Bank Board. He was recently elected Vice President, 2018 Annual

Meeting Program of the Financial Management Association and currently serves as a

Director of the Financial Intermediation Research Society and has served as a Director of the

American Finance Association and the Western Finance Association and Vice President for

Global Services of the Financial Management Association. He serves or has served on the

editorial boards of Journal of Financial Economics, Journal of Finance, Review of Financial

Studies, Journal of Financial and Quantitative Analysis, Journal of Financial Intermediation

and Financial Management. He is a Senior Academic Fellow of the Asia Bureau of Finance

and Economic Research and a Research Associate at the European Corporate Governance

Institute (ECGI). His academic awards include five Journal of Financial Economics All Star

Paper Awards, Monetary Authority of Singapore Term Professor in Economics and Finance

at National University of Singapore and Fellow of the Academy of the Social Sciences in

Australia (FASSA). Ron received his B.A. from Northeastern University and his M.B.A. and

Ph.D. from the University of Chicago, Booth School of Business.

Ronald Masulis

Scientia Professor and Macquarie Group Chair of Financial

Services, UNSW School of Business, University of New

South Wales and distinguished visiting research professor,

Stern School of Business, New York University

"New Findings on Corporate Boards of Directors"

28 June 2016 10:45 am – 11:45 am

Location: Ballroom

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Committee – Asian Finance Association Annual Meeting 2016

President, Asian Finance Association

Ghon Rhee

Shidler College of Business

University of Hawaii at Manoa

Program Co-Chairs

Assoc. Prof. Dr. Kulpatra Sirodom

Strategic CFO Program Advisory

Thailand Securities Institute, The Stock Exchange of Thailand.

Professor Sun Qian

Department Chair of the Department of Finance

Fudan University (China)

Assoc. Prof. Dr. Yupana Wiwattanakantang

Department of Finance

National University of Singapore

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Paper Reviewers

Name, Affiliation

Kunal Ganguly, Indian Institute of Management Kashipur

Hee-Joon Ahn, SungKyunKwan University

Seoungpil Ahn, Sogang University

Heitor Almeida, University of Illinois at Urbana-Champaign

Hiroyuki Aman, Kwansei Gakuin University

Tze Chuan 'Chewie' Ang, Deakin University

Yasuhiro Arikawa, Waseda University

Bok Baik, Seoul National University

Warren Bailey, Cornell University

Karen L. Benson, University of Queensland

Henk Berkman, University of Auckland

Jedrzej Pawel Bialkowski, University of Canterbury

Pramuan Bunkanwanicha, ESCP Europe

SUK JOON BYUN, Korea Advanced Institute of Science and Technology

Jerry Cao, Singapore Management University

Jie Cao, Chinese University of Hong Kong

Maria Carapeto, City University London

Kam C. Chan, Western Kentucky University

Konan Chan, National Chengchi University (NCCU)

Chuang-Chang Chang, National Central University at Taiwan

Shao Chi Chang, National Cheng Kung University

Xin (Simba) Chang, Cambridge Judge Business School

Yen-Cheng Chang, National Taiwan University

Anchada Aida Charoenrook, Thammasat University

Mo Chaudhury, McGill University

J.B. (Jong-Bom) Chay, Sungkyunkwan University (SKKU)

Mark A. Chen, Georgia State University

Jianguo Chen, Massey University

Sheng Syan Chen, National Taiwan University

Yehning Chen, National Taiwan University

Yenn-Ru Chen, National Chengchi University (NCCU)

Jing Chi, Massey University

Chiraphol N. Chiyachantana, World Corporation Public Company Limited

Darwin Choi, Hong Kong University of Science & Technology (HKUST)

Jaewon Choi, University of Illinois at Urbana-Champaign

Robin K. Chou, National Chengchi University

J. Thomas Connelly, Chulalongkorn University

Henrik Cronqvist, University of Miami

Martin J. Dierker, Korea Advanced Institute of Science and Technology (KAIST)

Stephen G. Dimmock, Nanyang Technological University

David K. Ding, Singapore Management University

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G. Nathan Dong, Columbia University

Robert B. Durand, Curtin University of Technology

Manapol Ekkayokkaya, Chulalongkorn University

Robert W. Faff, University of Queensland

Yun Feng, Shanghai Jiao Tong University (SJTU)

Bart Frijns, Auckland University of Technology

Fangjian Fu, Singapore Management University

Pengjie Gao, University of Notre Dame

Laura Gonzalez, Fordham University

Bruce D. Grundy, University of Melbourne

Omrane Guedhami, University of South Carolina

Allaudeen Hameed, National University of Singapore (NUS)

Jeffrey Harris, American University

Takato Hiraki, Tokyo University of Science

Keng-Yu Ho, National Taiwan University

Toshiki Honda, Hitotsubashi University

Pei-Fang Hsieh, National Tsing Hua University

Shing-yang Hu, National Taiwan University

Henry Hongren Huang, National Central University at Taiwan

Jing-Zhi Huang, Pennsylvania State University

Tao Huang, Jiangxi University of Finance and Economics

Delroy M. Hunter, University of South Florida

Chuan-Yang Hwang, Nanyang Technological University (NTU)

Kotaro Inoue, Tokyo Institute of Technology

Akitoshi Ito, Hitotsubashi University

Kentaro Iwatsubo, Kobe University

Yeejin Jang, Purdue University

Christine X. Jiang, University of Memphis

George J. Jiang, Washington State University

Sung Wook JOH, Seoul National University

Jun-Koo Kang, Nanyang Technological University (NTU)

Baeho Kim, Korea University Business School

Dongcheol Kim, Korea University Business School

Woochan Kim, Korea University Business School

Woojin Kim, Seoul National University

Y. Han (Andy) Kim, SungKyunKwan University (SKKU)

Kuan-Cheng Ko, National Chi Nan University

Paul Kofman, The University of Melbourne

Hung Neng Lai, National Central University at Taiwan

Asjeet S. Lamba, University of Melbourne

Sie Ting Lau, Nanyang Technological University (NTU)

Dong Wook Lee, Korea University Business School

John B. Lee, University of Auckland

Jongsub Lee, University of Florida

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Mingsheng Li, Bowling Green State University

Tao Li, City University of Hong Kong (CityUHK)

Tanakorn Likitapiwat, Chulalongkorn University

Hao Lin, California State University, Sacramento

Qigui Liu, University of Wollongong

Ming•Hua Liu, University of Macau

Qigui Liu, University of Wollongong

Ruipeng Liu, Deakin University

Roger Loh, Singapore Management University

Jiang Luo, Nanyang Technological University (NTU)

Xingguo Luo, Zhejiang University

Peter MacKay, Hong Kong University of Science & Technology (HKUST)

Aktham Issa Maghyereh, United Arab Emirates University

Christopher B. Malone, Massey University

Ben R. Marshall, Massey University

Ronald W. Masulis, University of New South Wales

Cesario Mateus, University of Greenwich Business School

Sagarika Mishra, Deakin University

Hideaki Miyajima, Waseda University

Daisuke Miyakawa, Hitotsubashi University

Abhiroop Mukherjee, Hong Kong University of Science & Technology (HKUST)

Makoto Nakano, Hitotsubashi University

David T. Ng, Cornell University

Mikiharu Noma, Hitotsubashi University

JoÃo Pedro Vidal Nunes, ISCTE Business School

Kazuhiko Ohashi, Hitotsubashi University

Tatsuyoshi Okimoto, Australian National University

Chaiyuth Padungsaksawasdi, Thammasat Business School

Xiaofei Pan, University of Wollongong

Jiaren Pang, Tsinghua University

Kwangwoo Park, Korea Advanced Institute of Science and Technology

Pantisa Pavabutr, Thammasat University

Peter N. Posch, University of Dortmund

Yiming Qian, University of Iowa

Clara C. Raposo, Technical University of Lisbon (UTL)

S. Ghon Rhee, University of Hawaii

Kyoungwon Seo, Korea Advanced Institute of Science and Technology

Toshio Serita, Aoyama Gakuin University

Carl Hsin-han Shen, National Central University

Jianfeng Shen, University of New South Wales (UNSW)

Jing Shi, RMIT

Katsutoshi Shimizu, Nagoya University

Andre C. Silva, Universidade Nova de Lisboa

Amit K. Sinha, Bradley University

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Bumjean Sohn, Korea University Business School

Laura T. Starks, University of Texas at Austin

Jo-Ann Suchard, University of New South Wales (UNSW)

Jungwon Suh, Sungkyunkwan University (SKKU)

David S. Sun, Kai Nan University

Qian Sun, Fudan University

Hitoshi Takehara, Waseda University

Lewis Tam, University of Macau

Erik Theissen, University of Mannheim

Ramabhadran S. Thirumalai, Indian School of Business

Gary Gang Tian, Macquarie University

Xuan Tian, Indiana University

Qing Tong, Singapore Management University

Wilson H.S. Tong, Hong Kong Polytechnic University

Alireza Tourani-Rad, Auckland University of Technology

Sirimon Treepongkaruna, University of Western Australia

Cameron Truong, Monash University

Hirofumi Uchida, Kobe University

Joa£o Paulo Vieito, Polytechnic Instituto of Viana do Castelo

Nuttawat Visaltanachoti, Massey University

Milos Vulanovic, City University of Hong Kong (CityUHK)

Terry S. Walter, University of Sydney

David K. Wang, National University of Kaohsiung

Rong Wang, Singapore Management University

Shu-Feng Wang, Sungkyunkwan University

Steven Shuye Wang, Renmin University of China

Yanzhi Wang, National Taiwan University

Mitch Warachka, University of San Diego

Akiko Watanabe, University of Alberta

Masahiro Watanabe, University of Alberta

Kuo-Chiang (John) Wei, Hong Kong University of Science & Technology (HKUST)

Udomsak Wongchoti, Massey University

Fei Wu, Shanghai Jiao Tong University (SJTU)

Xueping Wu, City University of Hong Kong (CityUHK)

Peng Xu, Hosei University

Kazuo Yamada, Nagasaki University

Takeshi Yamada, Australian National University (ANU)

Jie Yang, Georgetown University

Jingjing Yang, Jiangxi Normal University

Jin-Huei Yeh, National Central University

Junesuh Yi, Dongguk University

Sangho Yi, Sogang University

Jin Yu, University of New South Wales (UNSW)

Min-Teh Yu, National Chiao Tung University

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Bohui Zhang, University of New South Wales (UNSW)

Chu Zhang, Hong Kong University of Science & Technology (HKUST)

Hong Zhang, Tsinghua University

Le Zhang, University of New South Wales (UNSW)

Mengxin Zhao, University of Alberta

Xinwei Zheng, Deakin University

Awards Committee

Ghon Rhee, Jung Koo Kang, Warren Bailey, Reena Aggarwal, Chuan Yang Hwang, John Wei,

Allaudeen Hameed, Robert Faff, Pengjie Gao, Shengsyan Chen, Woojin Kim, Talato Hiraki,

Henk Berkman, Kwang Woo Park, Santi Kiranand and Kulpatra Sirodom

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Organizing Committee

Chair

Dr. Surin Maneevitjit Deputy Head The Stock Exchange of Thailand

Co-Chairs

Supasinee Poopatragul The Stock Exchange of Thailand

Sirada Canny Lorhpipat Analyst The Stock Exchange of Thailand

Executive Chair

Dr. Santi Kiranand Senior Executive Vice President The Stock Exchange of Thailand

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Asian Finance Association Board of Directors (July 2014 – June2016)

President: S. Ghon Rhee, University of Hawaii

VP Programs: QIAN Sun, Fudan University

VP Membership: Karen Benson, University of Queensland

Secretary: Gary Tian, Macquarie University

Assistance Secretary: Jing Shi, RMIT

Treasurer: Shaojun Zhang, Hong Kong Polytechnic University

Honorary Auditor: Robert Faff, University of Queensland

Immediate Past Presidents: Sankar De, Shiv Nadar University

David Ding, Massey, University

Ex Officio: Sudipto Dasgupta, University of Lancaster (Editor, IRF)

SUCHARD Jo-Ann University of New South Wales YAMADA Takeshi Australian National University HWANG Chuan-Yang Nanyang Business School CHAN Kalok Chinese University of Hong Kong SUBRATA Sarkar Indira Gandhi Institute for Development Research, Mumbai EKAPUTRA Irwan Universitas Indonesia HANAFI Mamduh Universitas Gadjah Mada HONDA Toshiki Hitotsubashi University INOUE Kotaro Tokyo Institute of Technology OHASHI Kazuhiko Hitotsubashi University UCHIDA Konari Kyushu University LIU Minghua University of Macau ALI Ruhani Universiti Sains Malaysia MAT NOR Fauzias Universiti Sains Islam Malaysia PARK Kwangwoo Korea Advanced Institute of Science and Technology CHOW Edward National Chengchi University TIRAPAT Sunti Chulalongkorn University NGUYEN Duc Khuong IPAG Business School (France)

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Best Paper Awards

-Asian Finance Association best paper awards in the areas of corporate finance, investment

and financial markets and institutions (Three Prizes, US$1,000 each) sponsored by The Asian

Finance Association

-SET best paper awards in capital market (Two Prizes, US$1,000 each) sponsored by The

Stock Exchange of Thailand

-Pacific-Basin Finance Journal best paper awards (Four Prizes, US$1,000 each) sponsored by

The Pacific-Basin Finance Journal

-CFA Institute best paper award (US$1,000) sponsored by CFA

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Conference Program

Conference Program 26 June 2016 Registration: 1:00 pm - 5:00 pm Location: Anantara Siam Hotel lobby Asian Finance Association Board Meeting: 2:00 pm - 4:00 pm Location: SuriyanChandhra Room, Anantara Siam Hotel Conference reception: 5:00 pm - 6:30 pm Location: The Stock Exchange of Thailand Bldg. Session 1: Asset Pricing Theory 1 27 June 2016 8:30 am – 10:30 am Location: Amorn room Chair: Taufiq Choudhry, University of Southampton

Empirical Comparison of Hazard Models in Predicting SMEs Failure Jairaj Gupta, University of Birmingham Andros Gregoriou, University of Brighton Tahera Ebrahimi, University of Hull Discussant: Su Chen, Independent The Early Exercise Premium in American Put Option Using Nonparametric Regression Su Chen, Independent Weiping Li, Oklahoma State University Discussant: Taufiq Choudhry, University of Southampton Forecasting the Daily Time-Varying European Banks Beta During the Crisis Period: Comparison between GARCH Models and Kalman Filter Taufiq Choudhry, University of Southampton Yuanyuan Zhang, Southwestern University of Finance and Economics (SWUFE) Discussant: Woraphon Wattanatorn, Thammasat University - Thammasat Business School Liquidity Timing in the Higher Moment Framework: Evidence from Bank Affiliated Fund Woraphon Wattanatorn, Thammasat University - Thammasat Business School Chaiyuth Padungsaksawasdi, Thammasat Business School Sarayut Nathaphan, Mahidol University International College (MUIC) Pornchai Chunhachinda, Thammasat University Discussant: Jairaj Gupta, University of Birmingham Session 2: Asset Pricing Empirical 1 27 June 2016 8:30 am – 10:30 am Location: Ratana room Chair: Yexiao Xu, University of Texas at Dallas - School of Management Idiosyncratic Risk Matters to Large Stocks Yexiao Xu, University of Texas at Dallas - School of Management

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Yangqiulu Luo, University of Houston - C.T. Bauer College of Business Guojun Wu, University of Houston Discussant: Lee A. Smales, Curtin University of Technology - School of Economics and Finance Does More Complex Language in FOMC Decisions Impact Financial Markets? Lee A. Smales, Curtin University of Technology - School of Economics and Finance Nicholas Apergis, University of Piraeus Discussant: Pierre L. Siklos, Wilfrid Laurier University - School of Business & Economics Monetary Policy, Medium- and Long-Term Yields at the Zero Lower Bound: International Evidence Domenico Lombardi, Centre for International Governance Innovation (CIGI) Samantha St. Amand, Centre for International Governance Innovation (CIGI) Pierre L. Siklos, Wilfrid Laurier University - School of Business & Economics Discussant: Dominik Rösch , State University of New York at Buffalo - School of Management Cross-Sectional Identification of Informed Trading Dion Bongaerts, Erasmus University Rotterdam (EUR) - Finance Dominik Rösch , State University of New York at Buffalo - School of Management Mathijs A. Van Dijk, Erasmus University - Rotterdam School of Management Discussant: Yexiao Xu, University of Texas at Dallas - School of Management Session 3: Asset Pricing Empirical 4 27 June 2016 8:30 am – 10:30 am Location: Kosin room Chair: Jin-Huei Yeh, National Central University at Taiwan

Marketing Capability and Stock Returns Tze Chuan 'Chewie' Ang, Deakin University - Department of Finance Van Anh (Vivian) Mai, Deakin University - Faculty of Business and Law Harminder Singh, Deakin University - School of Accounting, Economics and Finance Discussant: Junhua Zhong, Dongbei University of Finance and Economics Predictive Regressions Based on Ex Ante Index Futures Market Information Junhua Zhong, Dongbei University of Finance and Economics Discussant: Jin-Huei Yeh, National Central University at Taiwan Examining Strategic Investments Based on Asset Price Bubbles Jin-Huei Yeh, National Central University at Taiwan Shi-Jung Fan-Jian, National Central University at Taiwan Yu-Tung Lin, National Central University at Taiwan Kai-Huei Yu, National Central University at Taiwan Discussant: George J. Wang, Manchester Business School Starting on the Wrong Foot: Seasonality in Mutual Fund Performance Stephen Brown, New York University-Stern School of Business

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Juan M. Sotes-Paladino, University of Melbourne - Department of Finance George J. Wang, Manchester Business School Chelsea Yaqiong Yao, Lancaster University - Management School Discussant: Tze Chuan 'Chewie' Ang, Deakin University - Department of Finance Session 4: Corporate Finance Empirical 2 27 June 2016 8:30 am – 10:30 am Location: Napa room Chair: Victor Huang, University of Hawaii

Determinants of Analyst Replacement Shin-Rong Shiah-Hou, Yuan-Ze University Discussant: Kazuhiko Ohashi, Hitotsubashi University - Graduate School of International Corporate Strategy Multiple Lenders, Temporary Debt Restructuring, and Firm Performance: Evidence from Contract-Level Data Daisuke Miyakawa, Hitotsubashi University Kazuhiko Ohashi, Hitotsubashi University - Graduate School of International Corporate Strategy Discussant: Shin-Rong Shiah-Hou, Yuan-Ze University Investor Network: Implications for Information Diffusion and Asset Prices Chung San-Lin, National Taiwan University Wen-Rang Liu, National Taiwan University Kevin Tseng, University of Kansas, School of Business Discussant: Victor Huang, University of Hawaii Session 5: Corporate Finance Empirical 5 27 June 2016 8:30 am – 10:30 am Location: Dara room Chair: Vijaya B. Marisetty, RMIT University

Should Private Sector Participate in Public Private Partnerships? Evidence from China and India Hong Nhung Dao, RMIT University Vijaya B. Marisetty, RMIT University Discussant: Carl Hsin-han Shen, National Central University

All Things are Obedient to Money: CEO Compensation of Sin Companies Sheng Syan Chen, National Taiwan University Carl Hsin-han Shen, National Central University Yanzhi Wang, National Taiwan University - Department of Finance Discussant: Wilson Ng, University of Western Australia The Informativeness of Substantial Shareholder Trading in the Lead Up to a Takeover Bid Millicent Chang, University of Western Australia

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Raymond da Silva Rosa, University of Western Australia - Department of Accounting and Finance Wilson Ng, University of Western Australia Discussant: Morten Bennedsen, INSEAD - Economics and Political Sciences Corporate Tax Havens and Transparency Morten Bennedsen, INSEAD - Economics and Political Sciences Stefan Zeume, University of Michigan, Stephen M. Ross School of Business Discussant: Vijaya B. Marisetty, RMIT University Session 6: Corporate Finance Empirical 8 27 June 2016 8:30 am – 10:30 am Location: Suriya room Chair: Shaojun Zhang, Hong Kong Polytechnic University

Market Timing of Seasoned Equity Offerings with Long Regulative Process Yong Huang, Kyushu University - Graduate School of Economics Konari Uchida, Kyushu University - Faculty of Economics Daolin Zah, China University of Geoscience, School of Economy and Management Discussant: S. R. Vishwanath, Shiv Nadar University Strategic Allocation to Institutional Investors, Underpricing and the After Market Performance of IPOs S. R. Vishwanath, Shiv Nadar University Shantaram P. Hegde, University of Connecticut Rama Seth, Indian Institute of Management Calcutta M Durgaprasad, T.A. Pai Management Institute (TAPMI) Discussant: Si Xu, Hunan University - Business School On the Value of Corporate Social Responsibility Disclosure: Empirical Investigation of Corporate Bond Issues in China Si Xu, Hunan University - Business School Guangming Gong, Hunan University - Business School Xun Gong, Hunan University - School of Finance and Statistics Discussant: Woojin Kim, Seoul National University - Business School Who's Leaving Money on the Table? Evidence from IPOs within Business Groups Woojin Kim, Seoul National University - Business School Chan Lim, Seoul National University Business School Tae Jun Yoon, Seoul National University Business School Discussant: Yong Huang, Kyushu University - Graduate School of Economics Session 7: Financial Intermediation 1 27 June 2016 8:30 am – 10:30 am Location: Chandra room Chair: Wako Watanabe, Keio University Does the Policy Lending of the Government Financial Institution Mitigate the Credit Crunch? Evidence from the Loan Level Data in Japan Wako Watanabe, Keio University

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Masahiro Sekino, ISI Software Co. , Ltd Discussant: Jinjuan Ren, University of Macau Short Sale, Margin Purchase, and Stock Price Crash Risk Yan Luo, Fudan University Jinjuan Ren, University of Macau Discussant: Hai X. Nguyen, The Chinese University of Hong Kong Too Big to Fail: Toward an Optimal Regulation Chang Ma, Johns Hopkins University - Department of Economics Hai X. Nguyen, The Chinese University of Hong Kong Discussant: Jiakai Chen, University of Hawaii Off-Balance Sheet Financing and Bank Capital Regulation: Lessons from Asset-Backed Commercial Paper Jiakai Chen, University of Hawaii Discussant: Wako Watanabe, Keio University Session 8: Market Microstructure 1 27 June 2016 8:30 am – 10:30 am Location: Busaba room Chair: Allaudeen Hameed, National University of Singapore (NUS)

Estimating Order Imbalance Using Low Frequency Data JinGi Ha, Singapore Management University Jianfeng Hu, Singapore Management University - Lee Kong Chian School of Business Discussant: Allaudeen Hameed, National University of Singapore (NUS) - Department of Finance Informed Trading in Options or Price Pressure in Stocks? Connecting the Dots in Option-Based Return Predictability Luis Goncalves-Pinto, National University of Singapore Bruce D. Grundy, University of Melbourne Allaudeen Hameed, National University of Singapore (NUS) - Department of Finance Thijs van der Heijden, University of Melbourne - Department of Finance Discussant: Lars L. Norden, Stockholm University - Stockholm Business School Best Execution: Can Institutional and Retail Investors Benefit from Fast and Fragmented Trading? Michal Dzieliński, Stockholm Business School Björn Hagströmer, Stockholm Business School Lars L. Norden, Stockholm University - Stockholm Business School Discussant: Martin Hauptfleisch, University of Technology Sydney (UTS) Predictable Trading Martin Hauptfleisch, University of Technology Sydney (UTS) Talis Putnins, University of Technology, Sydney - UTS Business School Discussant: JinGi Ha, Singapore Management University

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Coffee Break: 10:30 am to 10:45 am Location: Ballroom Opening Ceremony: 10:45 am to 11:00 am Location: Ballroom Welcome Remarks: 11:00 am to 11:15 am Location: Ballroom Keynote Speech: ASEAN Financial Markets: SET’s challenges and opportunities 27 June 2016 11:15 am – 11:40 am Location: Ballroom Mrs. Kesara Manchusree President, The Stock Exchange of Thailand (SET)

Group Photo Session: 11:40 am to 12:00 pm Location: Ballroom Lunch: 27 June 2016 12:00 pm - 1:00 pm Location: Montienthip Room Session 9: Asset Pricing Behavioral 1 27 June 2016 1:15 pm – 3:15 pm Location: Amorn room Chair: Roy Kouwenberg, Erasmus University Rotterdam (EUR)

Credit Risk Spillover Among Sovereign and Firms: An Analysis of Asian Debt Yiling Zha, University of Dundee D.M. Power, University of Dundee Nongnuch Tantisantiwong, Southampton Business School, University of Southampton Discussant: Sheng Sisi, Renmin University of China Does Mood Affect the Efficiency of Credit Approval: Evidence from Online Peer-to-Peer Lending Yan Li, Renmin University of China Sheng Sisi, Renmin University of China Discussant: Ji Cao, Nankai University - Business School Cumulative Prospect Theory and Underdiversification Ji Cao, Nankai University - Business School Discussant: Roy Kouwenberg, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) Rank-Dependent Utility and Risk Taking in Complete Markets Xue Dong He, The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management Roy Kouwenberg, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) Xun Yu Zhou, University of Oxford - Nomura Centre for Mathematical Finance

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Discussant: Nongnuch Tantisantiwong, Southampton Business School, University of Southampton Session 10: Asset Pricing Empirical 2 27 June 2016 1:15 pm – 3:15 pm Location: Ratana room Chair: Kalok Chan, CUHK Business School

Manager Sentiment and Stock Returns Fuwei Jiang, Central University of Finance and Economics (CUFE) - School of Finance Joshua A. Lee, Florida State University - Department of Accounting Xiumin Martin, Washington University in Saint Louis - Olin School of Business Guofu Zhou, Washington University in St. Louis - Olin School of Business Discussant: Ramabhadran Thirumalai, Indian School of Business (ISB) Downward Sloping Demand Curve, Price Pressure, or Slow Moving Capital?: Evidence from an Exogenous Supply Shock Ramabhadran Thirumalai, Indian School of Business (ISB) Ankit Jain, Indian School of Business (ISB), Hyderabad Prasanna L. Tantri, Indian School of Business Discussant: Tao Huang, Jiangxi University of Finance and Economics R&D Information Quality and Stock Returns Tao Huang, Jiangxi University of Finance and Economics Junye Li, ESSEC Business School Fei Wu, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) Ning Zhu, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) Discussant: Clark Liu, Tsinghua University - PBC School of Finance Portfolio Constraints and Asset Prices: Evidence from the Shanghai-Hong Kong Stock Connect Program Clark Liu, Tsinghua University - PBC School of Finance Shujing Wang, Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management K. C. John Wei, Hong Kong University of Science & Technology (HKUST) Discussant: Hong Zhang, Tsinghua University - PBC School of Finance Session 11: Corporate Finance Theory 1 27 June 2016 1:15 pm – 3:15 pm Location: Kosin room Chair: Hsien-Hsing Liao, National Taiwan University

Interbank Intermediation Marcel Bluhm, Wang Yanan Institute for Studies in Economics Co-Pierre Georg, Deutsche Bundesbank Jan Pieter Krahnen, Faculty of Economics and Business Administration, Goethe University Frankfurt

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Discussant: Mamduh M. Hanafi, Universitas Gadjah Mada (UGM) - Faculty of Economics and Business (FEB) Inter and Intraday Analyses of IPO Aftermarket: Evidence from Indonesia Stock Exchange Mamduh M. Hanafi, Universitas Gadjah Mada (UGM) - Faculty of Economics and Business (FEB) Discussant: Hsien-Hsing Liao, National Taiwan University Optimal Capital Structure and Speed of Adjustment: Inside Debt Perspective Hsien-Hsing Liao, National Taiwan University Tsung-Kang Chen, Fu Jen Catholic University Yi-Han Chang, Independent Discussant: Woojin Kim, Seoul National University - Business School Control Beyond Ownership: Subcontractors of Large Business Groups Woojin Kim, Seoul National University - Business School Jongsub Lee, University of Florida - Warrington College of Business Administration Yunxiao Liu, Korea University Discussant: Marcel Bluhm, Wang Yanan Institute for Studies in Economics

Session 12: Corporate Finance Empirical 3 27 June 2016 1:15 pm – 3:15 pm Location: Napa room Chair: Paul H. Malatesta, University of Washington

Cross-Country Differences in the Effect of Political Connections on Stock Price Informativeness Yuanto Kusnadi, Singapore Management University - School of Accountancy Bin Srinidhi, University of Texas at Arlington - Department of Accounting Discussant: Y. Han (Andy) Kim, SungKyunKwan University (SKKU) The Face of Risk: CEO Testosterone and Risk Taking Behavior Y. Han (Andy) Kim, SungKyunKwan University (SKKU) Shinichi Kamiya, Nanyang Technological University (NTU) - Nanyang Business School Jungwon Suh, Sungkyunkwan University (SKKU) Discussant: Katsushi Suzuki, Hitotsubashi University - Graduate School of International Corporate Strategy Shareholder Perks, Ownership Structure, and Firm Value Jonathan M. Karpoff, University of Washington - Michael G. Foster School of Business Katsushi Suzuki, Hitotsubashi University - Graduate School of International Corporate Strategy Discussant: Paul H. Malatesta, University of Washington - Michael G. Foster School of Business Deregulation and the Cost of Public Debt Qiang Kang, Florida International University (FIU) - Department of Finance Xi Li, Hong Kong University of Science & Technology (HKUST)

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Paul H. Malatesta, University of Washington - Michael G. Foster School of Business Junbo Wang, City University of HongKong Discussant: Yuanto Kusnadi, Singapore Management University - School of Accountancy Session 13: Corporate Finance Empirical 6 27 June 2016 1:15 pm – 3:15 pm Location: Dara room Chair: Wendy Hsu, Massey University

Funding Disclosures, Information Asymmetry, and the Cost of Capital Alvin Ang, UNSW Business School, University of New South Wales Robert Tumarkin, UNSW Australia Business School, School of Banking and Finance Discussant: Wendy Hsu, Massey University Mood and Analyst Optimism and Accuracy Candie (Yuk Ying), Massey University Wendy Hsu, Massey University Discussant: Hawfeng Shyu, Zhongshan University - School of Business Liquidity Risk and Takeovers Hawfeng Shyu, Zhongshan University - School of Business Discussant: Alvin Ang, UNSW Business School, University of New South Wales

Session 14: Derivative 1 27 June 2016 1:15 pm – 3:15 pm Location: Suriya room Chair: Gang Li, Hong Kong Polytechnic University

Cross Section of Option Return and Option-Implied Beta Samuel Zeto, Hong Kong Baptist University (HKBU) Discussant: Vu Tran, Swansea University - School of Management Multiple Credit Ratings and Market Heterogeneity Vu Tran, Swansea University - School of Management Rasha Alsakka, Bangor Business School Owain Ap Gwilym, Bangor Business School Discussant: Zih-Ying Lin, National Central University - Department of Finance Volatility Spreads and Innovation Grants Announcement Returns Zih-Ying Lin, National Central University - Department of Finance Guan-Ying Huang, National Central University-Department of Finance Pei-Fang Hsieh, National Tsing Hua University - Department of Quantitative Finance Discussant: Gang Li, Hong Kong Polytechnic University On the Jump Dynamics and Jump Risk Premiums Gang Li, Hong Kong Polytechnic University Discussant: Samuel Zeto, Hong Kong Baptist University (HKBU) Session 15: Financial Intermediation 2

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27 June 2016 1:15 pm – 3:15 pm Location: Chandra room Chair: Bohui Zhang, University of New South Wales (UNSW)

Insider Sales Under the Threat of Short Sellers: New Theory and New Tests Kemin Wang, Fudan University - School of Management Rencheng Wang, University of Queensland - Business School Kuo-Chiang (John) Wei, Hong Kong University of Science & Technology (HKUST) - Department of Finance Bohui Zhang, University of New South Wales (UNSW) - School of Banking and Finance Discussant: Robert B. Durand, Curtin University of Technology - School of Economics and Finance - Department of Finance and Banking Relationship Lending: A Source of Support or a Means of Exploitation? Evidence from a Developing Economy Inayat Hussain, Curtin University Robert B. Durand, Curtin University of Technology - School of Economics and Finance - Department of Finance and Banking Mark N. Harris, Curtin University Discussant: Yosman Bustaman, University of Indonesia (UI) - Faculty of Economics and Business Interest Margin, Market Power, Diversification Strategy and Banking Stability: Evidence from ASEAN Yosman Bustaman, University of Indonesia (UI) - Faculty of Economics and Business Irwan Adi Ekaputra, University of Indonesia (UI) - Faculty of Economics and Business Zaafri A. Husodo, Universitas Indonesia, Graduate School of Management Ruslan Prijadi, Universitas Indonesia, Graduate School of Management Discussant: J. Kenny Phua, Nanyang Technological University (NTU) Do Equity Analysts Learn from Their Colleagues? Evidence Using an Information Network Centrality Measure J. Kenny Phua, Nanyang Technological University (NTU) T. Mandy Tham, Wealth Management Institute, Singapore Chishen Wei, Nanyang Technological University (NTU) - Division of Banking & Finance Discussant: Bohui Zhang, University of New South Wales (UNSW) - School of Banking and Finance Session 16: Market Microstructure 2 27 June 2016 1:15 pm – 3:15 pm Location: Busaba room Chair: Reena Aggarwal, Georgetown University

The Information Content of Special Orders Huu Nhan Duong, Monash University - Department of Banking and Finance Paul Lajbcygier, Monash University - Department of Banking & Finance Van H. Vu, Newcastle Business School Discussant: Haoming Chen, University of New South Wales (UNSW)

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The Value of a Millisecond: Structural Segmentation of Uninformed Order Flow Haoming Chen, University of New South Wales (UNSW) Sean Foley, University of Sydney Michael A. Goldstei, Babson College - Finance Division Thomas Ruf, UNSW Australia Business School, School of Banking and Finance Discussant: Zhen-Xing Wu, National Central University at Taiwan - Department of Finance Market Decline, High-Frequency Trading and Liquidity Commonality George H. K. Wang, George Mason University Zhen-Xing Wu, National Central University at Taiwan - Department of Finance Hui Zheng, Discipline of Finance, The University of Sydney Discussant: Yin-Feng Gau, National Central University Information Shocks and Order Aggressiveness in the Foreign Exchange Market Yin-Feng Gau, National Central University Zhen-Xing Wu, National Central University at Taiwan - Department of Finance Discussant: Van H. Vu, Newcastle Business School Coffee Break: 3:15 pm to 3:30 pm Location: Conference Room Hallways Session 17: Asset Pricing Behavioral 2 27 June 2016 3:30 pm – 5:30 pm Location: Amorn room Chair: Hidenori Takahashi, Kobe University

Is the Idiosyncratic Volatility Anomaly Driven by the MAX or MIN Effect? New Evidence from the Chinese Stock Market Xiaoyuan Wan, Antai College of Economics and Management, Shanghai Jiao Tong University (SJTU) Discussant: Hidenori Takahashi, Kobe University Exogenous and Endogenous Attention, Distraction, Overconfidence and Sell-Side Analyst Herding Robert B. Durand, Curtin University of Technology - School of Economics and Finance - Department of Finance and Banking Manapon Limkriangkrai, Monash University Lucia Fung, Department of Management, Hong Kong Baptist University Discussant: Xiaoyuan Wan, Antai College of Economics and Management, Shanghai Jiao Tong University (SJTU)

Page View-Based Investor Attention and IPO Pricing Katsuhiko Okada, Kwansei Gakuin University Business School Hidenori Takahashi, Kobe University Discussant: Manapon Limkriangkrai, Monash University Session 18: Asset Pricing Empirical 3 27 June 2016 3:30 pm – 5:30 pm Location: Ratana room Chair: Li Ge, Monash University

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Forecasting Stock Returns in Good and Bad Times: The Role of Market States Dashan Huang, Singapore Management University - Lee Kong Chian School of Business Fuwei Jiang, Central University of Finance and Economics (CUFE) - School of Finance Jun Tu, Singapore Management University - Lee Kong Chian School of Business Guofu Zhou, Washington University in St. Louis - Olin School of Business Discussant: Li Ge, Monash University - Monash Business School

Expectations and Risk Premia at 8:30am: Macroeconomic Announcements and the Yield Curve Peter Hoerdahl, Bank for International Settlements (BIS) Eli M. Remolona, Bank for International Settlements (BIS) - Monetary and Economic Department Giorgio Valente, City University of Hong Kong (CityUHK) - Department of Economics & Finance Discussant: Fuwei Jiang, Central University of Finance and Economics (CUFE) - School of Finance

Industry Concentration and Momentum Strategy: Evidence from China Yujing Gong, Wenlan School of Business, Zhongnan University of Economics and Law Discussant: Peter Hoerdahl, Bank for International Settlements (BIS)

Informed Options Trading Prior to Bankruptcy Filings Li Ge, Monash University - Monash Business School Jianfeng Hu, Singapore Management University - Lee Kong Chian School of Business Mark Humphery-Jenner, University of New South Wales Tse-Chun Lin, The University of Hong Kong - Faculty of Business and Economics Discussant: Yujing Gong, Wenlan School of Business, Zhongnan University of Economics and Law Session 19: Corporate Finance Empirical 1 27 June 2016 3:30 pm – 5:30 pm Location: Kosin room Chair: Jing Xie, Hong Kong Polytechnic University

Political Connection Disruption, Financial Flexibility and Cash Policy Xiaofeng Zhao, The Chinese University of Hong Kong (CUHK) - Department of Finance Haohan Ren, The Chinese University of Hong Kong (CUHK) - Department of Finance Discussant: Manpreet Singh, Hong Kong University of Science & Technology - Department of Finance Common Equity Blockholders and Diffusion of Tax Avoidance Zeyu Sun, National University of Singapore (NUS), Business School, Department of Accounting Jing Xie, Hong Kong Polytechnic University School of Accounting and Finance Discussant: Haohan Ren, The Chinese University of Hong Kong (CUHK) - Department of Finance

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Threat of Entry: Trade Credit and the Defense of Market Power Manpreet Singh, Hong Kong University of Science & Technology - Department of Finance Discussant: Jing Xie, Hong Kong Polytechnic University School of Accounting and Finance Session 20: Corporate Finance Empirical 4 27 June 2016 3:30 pm – 5:30 pm Location: Napa room Chair: Y. Han (Andy) Kim, SungKyunKwan University (SKKU)

Stock Market Liquidity and Short-Termism Driven CEO Turnover Min Jung Kang, University of Michigan-Flint Y. Han (Andy) Kim, SungKyunKwan University (SKKU) Discussant: Qi Zeng, University of Melbourne - Department of Finance

Firm Acquisitiveness and Tax Avoidance Ferdinand A. Gul, Deakin University - Department of Accounting Syed Shams, University of Southern Queensland Discussant: Y. Han (Andy) Kim, SungKyunKwan University (SKKU)

The Impact of Cultural Diversity in Corporate Boards on Firm Performance Bart Frijns, Auckland University of Technology - Faculty of Business & Law Olga Dodd, Auckland University of Technology Helena Cimerova, Auckland University of Technology - Department of Finance Discussant: Syed Shams, University of Southern Queensland

The Unintended Effects of Government Regulations in Emerging Financial Markets: Evidence from Chinese IPOs Franasois Derrien, HEC Paris (Groupe HEC) - Finance Department Xiaohui Wu, Xiamen University Qi Zeng, University of Melbourne - Department of Finance Yan Zhang, Xiamen University Discussant: Olga Dodd, Auckland University of Technology Session 21: Corporate Finance Empirical 7 27 June 2016 3:30 pm – 5:30 pm Location: Dara room Chair: Robert W. Faff, University of Queensland

Driving the Presence of Investor Sentiment: The Role of Media Bias in IPOs Zhe Shen, Xiamen University - School of Management Jiaxing You, Xiamen University Michael Firth, Lingnan University - Department of Finance and Insurance Discussant: Robert W. Faff, University of Queensland

Corporate Social Responsibility and Firm Risk: Implications from Employee Satisfaction Weijie Lu, City University of Hong Kong Discussant: Zhe Shen, Xiamen University - School of Management

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Do Government Linked Companies Hold More Cash? Chenxi LIU, Lee Kong Chain School of business Nelson Yap, Singapore Management University - Lee Kong Chian School of Business Sili Zhou, Singapore Management University - Lee Kong Chian School of Business Discussant: Weijie Lu, City University of Hong Kong

Mapping 'Pitching Research' Tasks into the RSD7 Framework: A Pedagogic Perspective Robert W. Faff, University of Queensland Discussant: Sili Zhou, Singapore Management University - Lee Kong Chian School of Business Session 22: Special session (“Why do the founding families exit their corporation? Evidence from Listed Firms in Japan”) 27 June 2016 3:30 pm – 4:30 pm Location: Suriyan room Yupana Wiwattanakantang, National University of Singapore, NUS Business School Session 23: International Finance 1 27 June 2016 3:30 pm – 5:30 pm Location: Chandra room Chair: Hong Zhang, Tsinghua University

Country-Specific Growth Opportunities, Within-Country Heterogeneity, and the Role of Financial Globalization Dong Wook Lee, Korea University Business School Lingxia Sun, Korea University Business School (KUBS) Discussant: Nongnuch Tantisantiwong, Southampton Business School, University of Southampton Individualism and Stock Price Crash Risk Zhe An, Monash Business School, Monash University Zhian Chen, University of New South Wales - School of Banking and Finance Donghui Li, Jinan University - Management School Xing Lu University of Edinburgh Discussant: Dong Wook Lee, Korea University Business School The Impact of Sin Culture: Evidence from Earning Management and Alcohol Consumption in China Hong Zhang Zhe Li, Renmin University of China Massimo Massa INSEAD - Finance Nianhang Xu, School of Business, Renmin University of China Hong Zhang, Tsinghua University - PBC School of Finance Discussant: Donghui Li, Jinan University - Management School

Portfolio Weighting: Combined Economic Factors Nongnuch Tantisantiwong, Southampton Business School, University of Southampton Nutt Treepoonsuk, University of Southampton - Southampton Business School Discussant: Hong Zhang, Tsinghua University - PBC School of Finance

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Session 24: Market Microstructure 3 27 June 2016 3:30 pm – 5:30 pm Location: Busaba room Chair: Kentaro Iwatsubo, Kobe University

A Tale of Two Averagings: Estimating the Integrated Volatility Using 'Pooled' High-Frequency Data Zhi Liu, University of Macau Xinbing Kong, Soochow University Bingyi Jing, Hong Kong University of Science & Technology (HKUST) Discussant: Samarpan Nawn, CFA* IIM Calcutta Doctoral Student

Quantitative Easing and Liquidity in the Japanese Government Bond Market Kentaro Iwatsubo, Kobe University Tomoki Taishi, Kobe University Discussant: Zhi Liu, University of Macau

Market Liquidity: A Study from Proprietary Algorithmic Traders Perspective Ashok Banerjee, Indian Institute of Management (IIM), Calcutta Samarpan Nawn, CFA* IIM Calcutta Doctoral Student Discussant: Kentaro Iwatsubo, Kobe University Session 25: Asset Pricing Theory 2 28 June 2016 8:30 am – 10:30 am Location: Amorn room Chair: Jerome Detemple, Boston University

Dynamic Noisy Rational Expectations Equilibrium with Information Production and Beliefs-Based Speculation Jerome Detemple, Boston University - Department of Finance & Economics Marcel Rindisbacher Questrom, School of Business, Boston University Discussant: Ying Liu, Swiss Finance Institute

Funding Shortfall Risk and Asset Prices in General Equilibrium Majid Hasan, EDHEC Business School Discussant: Jerome Detemple, Boston University - Department of Finance & Economics

Why Do Large Investors Disclose Their Information? Ying Liu, Swiss Finance Institute Discussant: Majid Hasan, EDHEC Business School Session 26: Asset Pricing Empirical 6 28 June 2016 8:30 am – 10:30 am Location: Ratana room Chair: Nicholas Tay, University of San Francisco

Stock Futures of a Flawed Market Index Kotaro Miwa, Tokio Marine Asset Management

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Kazuhiro Ueda, University of Tokyo Discussant: Tianyu Wang, Imperial College Business School

Dynamic Conditional Correlations between Chinese Sector Returns and the S&P500 Index: An Interpretation Based on Investment Shocks Myeong Hyeon Kim, Asian Institute of Corporate Governance Lingxia Sun, Korea University Business School (KUBS) Discussant: Kotaro Miwa, Tokio Marine Asset Management

Country Governance and International Equity Returns Ben R. Marshall, Massey University - School of Economics and Finance Nhut H. Nguyen, Massey University The Hung Nguyen Monash University Nuttawat Visaltanachoti, Massey University - Department of Economics and Finance Discussant: Lingxia Sun, Korea University Business School (KUBS)

Market Closure and Short-Term Reversal Pasquale Della Corte, Imperial College London Robert Kosowski, Imperial College Business School Tianyu Wang, Imperial College Business School Discussant: Nuttawat Visaltanachoti, Massey University - Department of Economics and Finance Session 27: Corporate Finance Empirical 11 28 June 2016 8:30 am – 10:30 am Location: Napa room Chair: Chandrasekhar Krishnamurti, University of Southern Queensland How Do CEO Work Experience and Career Concerns Affect Firm Investment Efficiency? Chih-Wei Peng, National Changhua University of Education Discussant: Chandrasekhar Krishnamurti, University of Southern Queensland Does CEO Learning Improve Takeover Success? Giang Duc Nguyen, Waseda University - Graduate School of Economics Discussant: Chih-Wei Peng, National Changhua University of Education How Do Short Sellers Discipline Firms with Accounting Irregularity? Evidence from Late Filings Ting Li, Skidmore College - Department of Management and Business Xinlei Zhao, University of Kentucky, Von Allmen School of Accountancy Discussant: Giang Duc Nguyen, Waseda University - Graduate School of Economics

Corruption Risk in the Defence Industry: Drivers and Stock Market Effects Chandrasekhar Krishnamurti, University of Southern Queensland Domenico Pensiero, University of Southern Queensland Eswaran Velayutham, University of Southern Queensland Discussant: Ting Li, Skidmore College - Department of Management and Business

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Session 28: Corporate Finance Empirical 14 28 June 2016 8:30 am – 10:30 am Location: Dara room Chair: Hardjo Koerniadi, Auckland University of Technology

Do Minority Shareholders Benefit from Parent-Subsidiary Mergers? Hardjo Koerniadi, Auckland University of Technology Alireza Tourani-Rad, Auckland University of Technology - Faculty of Business & Law Discussant: Azizah Abu Bakar, University of Glasgow

Ownership Dilution, Financial Constraint in Chinese M&A Payment Lulu Gu, Zhongnan University of Economics and Law W.R., Reed University of Canterbury Discussant: Hardjo Koerniadi, Auckland University of Technology

A Gender Gap in Executive Cash Compensation in Thailand: A View of the Expectancy Theory Kannikar Namwong, Rajamangala University of Technology Rattanakosin - Faculty of Business Administration Tatre Jantarakolica, Thammasat University - Faculty of Economics Thanomsak Suwannoi, Rajamangala University of Technology Rattanakosin - College of Innovation Management Jutamas Wongkantarakorn, Rajamangala University of Technology Rattanakosin - College of Innovation Management Discussant: Lulu Gu, Zhongnan University of Economics and Law Investor mood and Mispricing of Cross-listed Shares Azizah Abu Bakar, University of Glasgow Discussant: Thanomsak Suwannoi, Rajamangala University of Technology Rattanakosin - College of Innovation Management Session 29: International Finance 2 28 June 2016 8:30 am – 10:30 am Location: Suriya room Chair: Zhangxin Frank Liu, The University of Western Australia Googling Investor Sentiment Around the World Zhenyu Gao, Princeton University - Department of Economics Haohan Ren, The Chinese University of Hong Kong (CUHK) - Department of Finance Bohui Zhang, University of New South Wales (UNSW) - School of Banking and Finance Discussant: Zhangxin Frank Liu, The University of Western Australia Business School

The Taste of Dim Sum: The Determinants of Offshore Chinese Yuan Bond Liquidity Lei Meng, East China University of Science and Technology (ECUST) Thanos Verousis, Newcastle University Business School Discussant: Haohan Ren, The Chinese University of Hong Kong (CUHK) - Department of Finance Disclosure of Intended use of Proceeds and Stock Market Performance of Initial Public Offerings (IPOs)

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Kulabutr Komenkul, Rangsit University Mo Sherif, Heriot-Watt University - Department of Accountancy and Finance Bing Xu, Heriot-Watt University Discussant: Lei Meng, East China University of Science and Technology (ECUST)

Private Debt: Volatility, Credit Risk, and Returns Douglas J. Cumming, York University - Schulich School of Business Grant Fleming, Continuity Capital Partners Zhangxin Frank Liu, The University of Western Australia Business School Discussant: Kulabutr Komenkul, Rangsit University

Session 30: Corporate Finance Empirical 17 28 June 2016 8:30 am – 10:30 am Location: Chandra room Chair: Victor Huang, University of Hawaii Shareholder Perks in Japan: Price Movement and Trading Volume around Ex-Benefit Days Taeko Yasutake, Soka University - Faculty of Economics Wei Huang, University of Hawaii- Shidler College of Business Ghon Rhee, University of Hawaii- Shidler College of Business Katsushi Suzuki, Hitotsubashi University - Graduate School of International Corporate Strategy Discussant: Chinghung (Henry) Chang, National Taiwan University - College of Management

Catalytic Effect of Internationalization on Innovation Chinghung (Henry) Chang, National Taiwan University - College of Management Ching-Hsing Chang, National Chiayi University Pi Kun Hsu, National Chung Hsing University Sheng-Yung Yang, National Chung Hsing University Discussant: Taeko Yasutake, Soka University - Faculty of Economics Session 31: Financial Crisis 1 28 June 2016 8:30 am – 10:30 am Location: Chandra room Chair: Sirimon Treepongkaruna, University of Western Australia

Liquidity Commonality During the Financial Crisis: Effects of News Announcements Ya-ting Chang, National Central University Yin-Feng Gau, National Central University Chih-Chiang Hsu, National Central University at Taiwan - Department of Economics Discussant: Jinliu Li, Fudan University - Department of Finance

Can Commodity Futures Margin Requirements Control Risks Effectively? Evidence from China Jun Song, Fudan University Jinliu Li, Fudan University - Department of Finance Ruobing Ling, Fudan University

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Discussant: Yin-Feng Gau, National Central University

Coffee Break: 10:30 am to 10:45 am Location: Ballroom Keynote Speech: New Findings on Corporate Boards of Directors 28 June 2016 10:45 am – 11:45 am Location: Ballroom Ronald Masulis Scientia Professor and Macquarie Group Chair of Financial Services, UNSW School of Business, University of New South Wales and distinguished visiting research professor, Stern School of Business, New York University Asian Finance Association Annual General Meeting 2016: 11:45 am to 12:00 pm Location: Ballroom Lunch: 27 June 2016 12:00 pm - 1:00 pm Location: Montienthip Room

Session 32: Asset Pricing Behavioral 3 28 June 2016 1:15 pm – 3:15 pm Location: Amorn room Chair: S. Ghon Rhee, University of Hawaii Shidler College of Business

Investor Sentiment Purged: A Powerful Predictor in the Cross-Section of Stock Returns Qianqian Du, University of Stavanger Liya Chu, Singapore Management University Jun Tu, Singapore Management University Discussant: Tomoki Kitamura, NLI Research Institute, Finance Research Group Information Mirage and Belief Formation in Experimental Asset Markets Tomoki Kitamura, NLI Research Institute, Finance Research Group Munenori Nakasato, Aoyama Gakuin University, Graduate School of International Management Discussant: Joao Vieito, Scholl of Business Studies - Polytechnic Instituto of Viana do Castelo How Human Brain Works During Financial Investment Decisions? Joao Vieito , Scholl of Business Studies - Polytechnic Instituto of Viana do Castelo Fábio T. Rocha, Research on Artificial and Natural Intelligence (RANI) Armando Freitas da Rocha, Research on Artificial and Natural Intelligence (RANI) Discussant: Qianqian Du, University of Stavanger

Session 33: Asset Pricing Empirical 7 28 June 2016 1:15 pm – 3:15 pm Location: Ratana room Chair: Anchada Aida Charoenrook, Thammasat University

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Equity Convexity and its Implications to Value Premium Puzzle: An Empirical Analysis Junhua Zhong, Dongbei University of Finance and Economics Ilan Cooper BI, Norwegian Business School Richard Priestley, Norwegian Business School Yongdong Shi, Dongbei University of Finance and Economics (DUFE) Discussant: Chayapol Sirinonthakan, Southeast Insurance Does AEC Help Diversification Among ASEAN Stock Market? Portfolio Optimization with Skewness Chayapol Sirinonthakan, Southeast Insurance Anchada Aida Charoenrook, Thammasat University Discussant: Kuan-Cheng Ko, National Chi Nan University - College of Management Market Dynamics and Momentum in the Taiwan Stock Market Kuan-Cheng Ko, National Chi Nan University - College of Management Lin Chaonan, Xiamen University - School of Management Zhi-Xiang Feng, National Chi Nan University Nien-Tzu Yang, Department of Finance, Asia University, Taiwan Discussant: Ye Bai, University of Nottingham An Empirical Analysis of Chinese Financial Market Liberalisation Process Ye Bai, University of Nottingham Darien Chow, University of Nottingham

Discussant: Junhua Zhong, Dongbei University of Finance and Economics

Session 34: Corporate Finance Empirical 9 28 June 2016 1:15 pm – 3:15 pm Location: Kosin room Chair: Steen Thomsen, Copenhagen Business School

The Impact of Acquisitions on Corporate Bond Ratings Gurmeet S. Bhabra, University of Otago - Department of Accountancy and Finance Qi Chang, Concordia University, Quebec - Department of Finance Harjeet S. Bhabra, Concordia University, Quebec - John Molson School of Business Discussant: Christian Wolff, University of Luxembourg - Luxembourg School of Finance Credit Risk Characteristics of US Small Business Portfolios Christian C. P. Wolff, University of Luxembourg - Luxembourg School of Finance Dennis Bams, University of Maastricht - Limburg Institute of Financial Economics (LIFE) Magdalena Pisa, WHU - Otto Beisheim School of Management Discussant: Steen Thomsen, Copenhagen Business School Long-Term Ownership by Industrial Foundations Steen Thomsen, Copenhagen Business School Christa Børsting, Copenhagen Business School Johan Kuhn, Copenhagen Business School Thomas Poulsen, Copenhagen Business School

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Discussant: Jing Liao, Massey University

Macroeconomic Uncertainty, State Ownership, and Board Size in China Jing Liao, Massey University Martin R. Young, Massey University - School of Economics and Finance Discussant: Gurmeet S. Bhabra, University of Otago - Department of Accountancy and Finance Session 35: Corporate Finance Empirical 12 28 June 2016 1:15 pm – 3:15 pm Location: Napa room Chair: Y. Han (Andy) Kim, SungKyunKwan University (SKKU) Innovation Beyond Firm Boundaries: Common Blockholders, Strategic Alliances, and Corporate Innovation Jing Xie, Hong Kong Polytechnic University School of Accounting and Finance Thomas J. Chemmanur, Boston College - Carroll School of Management Yao Shen, Boston College - Carroll School of Management Discussant: Y. Han (Andy) Kim, SungKyunKwan University (SKKU) Bankers on the Board and CEO Incentives Y. Han (Andy) Kim, SungKyunKwan University (SKKU) Min Jung Kang, University of Michigan-Flint Discussant: Florian Meier, University of East London Stock Misvaluation and Changes in Cash Proceeds Winifred Huang-Meier, University of Essex Florian Meier, University of East London Discussant: Wei Huang, The University of Nottingham Ningbo, China Executive and Director Cash Compensation and Tax Aggressiveness of Chinese Firms Wei Huang, The University of Nottingham Ningbo, China Tingting Ying, University of Nottingham, Ningbo Discussant: Jing Xie, Hong Kong Polytechnic University School of Accounting and Finance

Session 36: Corporate Finance Empirical 15 28 June 2016 1:15 pm – 3:15 pm Location: Dara room Chair: Nicholas Tay, University of San Francisco

A Tale of Two Styles: Do Qualified Foreign Institutional Investors Have an Edge Over Domestic Funds Managers in China? Liping Zou, School of Economics and Finance, Massey University Albany Tiantian Tang, Massey University Xiaoming Li, Massey University - School of Economics and Finance (Albany) Discussant: Ser-Keng Ang, Singapore Management University Building a Legacy: CEO Founder-Succession in Asia

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Ser-Keng Ang, Singapore Management University Sian A. Owen, UNSW Australia Business School, School of Banking and Finance Jo-Ann Suchard, UNSW Australia Business School, School of Banking and Finance Discussant: Feiying He, Hunan University How Does Corporate Social Responsibility Change Capital Structure? Feiying He, Hunan University Shenggang Yang, Hunan University - School of Finance and Statistics Zhu Qi, Hunan University - School of Finance and Statistics Zou Ziang, Hunan University Discussant: Zhu Qi, Hunan University - School of Finance and Statistics Does Earnings Smoothing Encourage Leverage? Zhu Qi, Hunan University - School of Finance and Statistics Chung-Hua Shen, Hunan University - School of Finance and Statistics Shenggang Yang, Hunan University - School of Finance and Statistics Discussant: Liping Zou, School of Economics and Finance, Massey University Session 37: Derivative 2 28 June 2016 1:15 pm – 3:15 pm Location: Suriya room Chair: Robert I. Webb, University of Virginia (UVA) Do Derivatives Matter?: Evidence from a Policy Experiment Ramabhadran S. Thirumalai, Indian School of Business Deepak Agrawal, Indian School of Business K.R. Subramanyam, University of Southern California - Leventhal School of Accounting Prasanna L. Tantri, Indian School of Business Discussant: Robert I. Webb, University of Virginia (UVA) - McIntire School of Commerce The Impact of Latency Sensitive Trading on High Frequency Arbitrage Opportunities Robert I. Webb, University of Virginia (UVA) - McIntire School of Commerce Alex Frino, Macquarie University Vito Mollica, Macquarie Graduate School of Management Shunquan Zhang, Macquarie University Discussant: Yingying Wu, Xi'an Jiaotong Liverpool University The Determinants of Convenience Yields Yingying Wu, Xi'an Jiaotong Liverpool University Marcel Prokopezuk, Leibniz Universität Hannover Discussant: Hoyong Choi, London School of Economics & Political Science (LSE) Information in (and not in) Treasury Options Hoyong Choi, London School of Economics & Political Science (LSE) Discussant: Ramabhadran S. Thirumalai, Indian School of Business

Session 38: Practitioner Session 1 28 June 2016 1:15 pm – 3:15 pm Location: Busaba room

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Construction of the Investor Sentiment Index (ISI) Teerawut Sripinit, Thammasat University Sicha Thubdimphun, Thammasat University Siriyos Chuthanondha, The Stock Exchange of Thailand Discussant: Surin Maneevitjit, The Stock Exchange of Thailand Coffee Break: 3:15 pm to 3:30 pm Location: Conference Room Hallways

Session 39: Asset Pricing Empirical 5 28 June 2016 3:30 pm – 5:30 pm Location: Amorn room Chair: Shaojun Zhang, Hong Kong Polytechnic University

Co-Collateral Risk Hong Zhang, Tsinghua University - PBC School of Finance Massimo Massa, INSEAD - Finance Chengwei Wang, INSEAD - Finance Discussant: Chelsea Yaqiong Yao, Lancaster University - Management School The Enduring Effect of Time-Series Momentum on Stock Returns Over Nearly 100-Years Chelsea Yaqiong Yao, Lancaster University - Management School Ian D’Souza, New York University - Leonard N. Stern School of Business Voraphat Srichanachaichok, Bangkok Bank George J. Wang, Manchester Business School Discussant: Shaojun Zhang, Hong Kong Polytechnic University

Session 40: Asset Pricing Empirical 8 28 June 2016 3:30 pm – 5:30 pm Location: Ratana room Chair: Takato Hiraki, Tokyo University of Science Terrorism and International Stock Returns Paresh Kumar Narayan, Deakin University - School of Accounting, Economics and Finance Seema Narayan Dinh Phan, Deakin University - Faculty of Business and Law Discussant: Takato Hiraki, Tokyo University of Science - School of Management The Causes and Consequences of Fund Level Home Bias Takato Hiraki, Tokyo University of Science - School of Management Ming Liu, International University of Japan Xue Wang, Renmin University of China Discussant: Yinggang Zhou, Xiamen University - Department of Finance What Makes Safe-haven Currencies Evidence from Conditional Coskewness Yinggang Zhou, Xiamen University - Department of Finance Kalok Chan, CUHK Business School Jian Yang, University of Colorado at Denver - Business School Discussant: Yuxi Wang, Nanyang Technological University (NTU)

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Is It Who You Know or What You Know? Evidence from IPO Allocations and Mutual Fund Performance Yuxi Wang, Nanyang Technological University (NTU) Chuan-Yang Hwang, Nanyang Technological University (NTU) Sheridan Titman, University of Texas at Austin - Department of Finance Discussant: Nicholas Tay, University of San Francisco

Session 41: Corporate Finance Empirical 10 28 June 2016 3:30 pm – 5:30 pm Location: Kosin room Chair: Gary Gang Tian, Macquarie University Founder Premiums and Acquirer Returns for Private Targets Yamin Xie, Hanken School of Economics - Department of Finance and Statistics Discussant: Tatsuo Ushijima, Keio University - Faculty of Business and Commerce The Effects of Corporate Diversification on Employee and Executive Pays Tatsuo Ushijima, Keio University - Faculty of Business and Commerce Discussant: Gary Tian, Macquarie University Managerial Social Networks Versus Political Connections: Evidence from Firms’ Access to Informal Financing Resources Gary Gang Tian, Macquarie University Qigui Liu, University of Wollongong - School of Accounting, Economics & Finance Jinbo Luo Jiangxi, University of Finance and Economics Discussant: Megumi Suto, Graduate School of of Finance, Accounting & Law, Waseda University Corporate Social Responsibility and the Cost of Capital: Evidence from Japanese Firms Megumi Suto, Graduate School of of Finance, Accounting & Law, Waseda University Hitoshi Takehara, Waseda University Discussant: Yamin Xie, Hanken School of Economics - Department of Finance and Statistics

Session 42: Corporate Finance Empirical 13 28 June 2016 3:30 pm – 5:30 pm Location: Napa room Chair: Yanzhi Wang, National Taiwan University Information Disclosure, Product Market Competition, and Firm Value Kung-Cheng Ho, Zhongnan University of Economics and Law Shih-Cheng Lee, Yuan Ze University Ting Lin, Deakin University - School of Accounting, Economics and Finance Lee-Hsien Pan, Keuka College Discussant: Yanzhi Wang, National Taiwan University - Department of Finance Organization Capital and Takeover Vulnerability Yanzhi Wang, National Taiwan University - Department of Finance Konan Chan, National Chengchi University (NCCU)

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Hsiaolin Yang, National Chengchi University (NCCU) - Department of Finance Discussant: Mingxin Li, Simon Fraser University Do All Diversified Firms Hold Less Cash? Evidence Around the World Mingxin Li, Simon Fraser University Christina V. Atanasova, Simon Fraser University Discussant: Kung-Cheng Ho, Zhongnan University of Economics and Law

Session 43: Corporate Finance Empirical 16 28 June 2016 3:30 pm – 5:30 pm Location: Dara room Chair: Re-Jin Guo, University of Illinois at Chicago - Department of Finance The Real Effect of Financial Innovation: Evidence from Credit Default Swaps Trading and Corporate Innovation Kuo Zhang, The Chinese University of Hong Kong (CUHK) - Department of Finance Xin (Simba) Chang, Cambridge Judge Business School Yangyang Chen, Hong Kong Polytechnic University - Faculty of Business Sarah Qian Wang, University of Warwick Discussant: Bobae Choi, University of Newcastle (Australia) - Newcastle Business School

Effects of Mandatory IFRS Adoption: Earnings Quality and Corporate Governance in Hong Kong Bobae Choi, University of Newcastle (Australia) - Newcastle Business School Bruce Li, Hong Kong Polytechnic University Discussant: Re-Jin Guo, University of Illinois at Chicago - Department of Finance Analyst Monitoring and Internal Capital Market Efficiency Re-Jin Guo, University of Illinois at Chicago - Department of Finance Rong Irene Zhong, University of Illinois at Chicago - Department of Accounting Discussant: Vidhan K. Goyal, Hong Kong University of Science & Technology (HKUST) - Department of Finance Capital Market Access and Cash Flow Allocation During the Financial Crisis Vidhan K. Goyal, Hong Kong University of Science & Technology (HKUST) - Department of Finance David Florysiak, Ludwig Maximilian University of Munich - Faculty of Business Administration (Munich School of Management) Discussant: Kuo Zhang, The Chinese University of Hong Kong (CUHK) - Department of Finance

Session 44: Financial Intermediation 3 28 June 2016 3:30 pm – 5:30 pm Location: Suriya room Chair: Christian Tallau, MÜnster University of Applied Sciences

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Revisiting Basel Risk Weights - Cross-Sectional Risk Sensitivity and Cyclicality Christian Tallau, MÜnster University of Applied Sciences Rainer Baule, University of Hagen Discussant: Katsutoshi Shimizu, Nagoya University Bank Lending Behavior and the Business Cycle Under Basel Regulations: Is There a Significant Procyclicality? Katsutoshi Shimizu, Nagoya University Kim Cuong Ly, University of Glasgow Discussant: Hsin-Yu Liang, Feng Chia University Independent Directors in Bank Governance: Evidence from China Hsin-Yu Liang, Feng Chia University Sheng-Hung Chen, Nanhua University - Department of Finance and Institute of Financial Management On Kit Tam, RMIT University Discussant: S Lakshmi Naaraayanan, Hong Kong University of Science & Technology (HKUST) - Department of Finance Banking Relationships and Loan Contracting S Lakshmi Narayanan, Hong Kong University of Science & Technology (HKUST) - Department of Finance Sreedhar T. Bharath Arizona State University - W.P. Carey School of Business Vidhan K. Goyal, Hong Kong University of Science & Technology (HKUST) - Department of Finance Anand Srinivasan, National University of Singapore - Department of Finance Discussant: Christian Tallau, MÜnster University of Applied Sciences

Conference gala dinner and awards ceremony 28 June 2016 6:30 pm – 8:30 pm Location: Ballroom

Conference Sponsors

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Siam Commercial Bank PCL is one of Thailand’s leading universal banks. Established by

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foreign exchange kiosks, and 9,806 ATM machines) to provide services that meet the

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More information is available from the website at www.scb.co.th