HKUST Finance Symposium
on Asset Pricing, December 12-13, 2006

DAY 1: TUESDAY, DECEMBER 12

  9:00-9:15  Coffee and Conference registration, Rm 7336, Council Chamber, HKUST

  9:15-9:20 Opening remarks by Professor K.C. Chan, Dean, School of Business and Management, HKUST
  
Chair: Gurdip Bakshi, University of Maryland

  9:20-10:10 Asset Pricing and Mispricing

Michael J. Brennan, UCLA
Ashley Wang, University of California, Irvine

Discussant: Andrew Ang, Columbia University and NBER

10:10-11:00  Does Disposition Drive Momentum?

Tyler Shumway, University of Michigan
Guojun Wu, University of Houston

Discussant: John Wei, HKUST

11:00-11:30  Coffee Break

11:30-12:20  The Term Structure of Real Rates and Expected Inflation

Andrew Ang, Columbia University and NBER
Geert Bekaert, Columbia University and NBER
Min Wei, Federal Reserve Board of Governors

Discussant: Mungo Wilson, HKUST

12:20-14:50  Lunch, Nan Lian Garden, Diamond Hill, Kowloon

Chair: Charles Cao, Pennsylvania State University

15:00-15:50  Lessons from Hedge Fund Registration

Stephen Brown, New York University
William Goetzmann, Yale University
Bing Liang, University of Massachusetts
Christopher Schwarz, University of Massachusetts

Discussant: Melvyn Teo, Singapore Management University

15:50-16:40 Fund Managers Who Take Big Bets: Skilled or Overconfident

Klaas P. Baks, Emory University
Jeffrey A. Busse, Emory University
T. Clifton Green, Emory University

Discussant: Guojun Wu, University of Houston

16:40-17:10  Coffee Break

17:10-18:00  The Geography of Hedge Funds

Melvyn Teo, Singapore Management University

Discussant: Bing Liang, University of Massachusetts

DAY 2: WEDNESDAY, DECEMBER 13


  9:00-9:15  Coffee
  
Chair: Christine A. Parlour, University of California, Berkeley

  9:20-10:10  Econometric Evaluation of Asset Pricing Models with No-Arbitrage Constraint

Haitao Li, University of Michigan
Yuewu Xu, Fordham University
Xiaoyan Zhang, Cornell University

Discussant: Chu Zhang, HKUST

10:10-11:00  The Distribution of Risk Aversion

Gurdip Bakshi, University of Maryland
Dilip Madan, University of Maryland

Discussant: Nengjiu Ju, HKUST

11:00-11:30  Coffee Break

11:30-12:20 How Important Is Option-Implied Volatility for Pricing Credit Default Swaps?

Charles Cao, Pennsylvania State University
Fan Yu, University of California, Irvine
Zhaodong Zhong, Pennsylvania State University

Discussant: Haitao Li, University of Michigan

12:20-14:20  Lunch, Kori Kebab Restaurant, Sai Kung

  
Chair: Michael J. Brennan, UCLA

14:20-15:10 Average correlation and stock market returns

Joshua M. Pollet, University of Illinois at Urbana-Champaign
Mungo Wilson, HKUST

Discussant: Klaas P. Baks, Emory University

15:10-16:00 Limit Order Markets and Microstructure Noise

Ronald L. Goettler, Carnegie Mellon University
Christine A. Parlour, University of California, Berkeley
Uday Rajan, University of Michigan

Discussant: Kalok Chan, HKUST

16:00-16:05 Closing Remarks by Prof. Sudipto Dasgupta, Acting Head, Department of Finance

End of Conference

2005 HKUST Finance Symposium
December 13-15, 2005
Program

(Click here to download the program)

TUESDAY, DECEMBER 13

18:30 - 21:30
Welcome Reception and Cocktail at Pacific Club
DAY 1 : WEDNESDAY, DECEMBER 14

9:00 – 9:15 am
Coffee and Conference registration, Rm 7336, Council Chamber, HKUST


9:15 – 9:20 am
Opening remarks by Professor K.C. Chan, Dean, School of Business and Management, HKUST


Session I: Reputation, Monitoring, and Political Connections
Session Chair: Paul Malatesta, University of Washington


9:20 – 10:10

Reputation and Spillovers: Evidence from Indian Business Groups

Radhakrishnan Gopalan, University of Michigan
Vikram Nanda, Arizona State University
Amit Seru, University of Michigan
Discussant: Ron Masulis, Vanderbilt University



10:10 – 11:00

Boom, Bust, and Fraud

Paul Povel, University of Minnesota
Rajdeep Singh, University of Minnesota
Andrew Winton, University of Minnesota
Discussant: Sudipto Dasgupta, HKUST



11:00 –11:30
Coffee Break

11:30 – 12:20

Sudden Deaths: Taking Stock of Political Connections

Mara Faccio, Vanderbilt University
David C. Parsley, Vanderbilt University
Discussant: Joe Peek, University of Kentucky



12:20 – 14:00
Lunch, G/F Chinese restaurant, HKUST



Session II: Financial Intermediation
Session Chair: Inmoo Lee, National University of Singapore


14:00 – 14:50

Pre IPO investments by financial intermediaries: Certification or moral hazard?

Xi Li, Vanderbilt
Ronald W. Masulis, Vanderbilt
Discussant: Tom Chemmanur, Boston College



14:50 – 15:40
Asymmetric Information and Liquidity Constraints: A More Complete Test

Dmytro Holod, University of Kentucky
Joe Peek, University of Kentucky

Discussant: Jie Gan, HKUST



15:40 – 16:10
Coffee Break

16:10 – 17:00
Are all retail investors equal? The importance of depositor base in commercial bank underwriting

Manju  Puri, Duke University and NBER
Jörg Rocholl, University of North Carolina
Discussant: Mara Faccio, Vanderbilt University



6:00 –9:00 p.m.
Conference Dinner

DAY 2 : THURSDAY, DECEMBER 15



9:00 – 9:20 am
Coffee


Session III: Capital Structure

Session Chair: Vikram Nanda, Arizona State University


9:20 – 10:10
Do Firms have target leverage ratios? Evidence from historical market-to-book and past returns?

Laura Liu, HKUST

Discussant: Michael R. Roberts, University of  Pennsylvania


10:10 – 11:00
Back to the Beginning: Persistence and Cross-Section of Corporate Capital Structure

Michael L. Lemmon, University of Utah
Michael R. Roberts, University of Pennsylvania
Jaime F. Zender, University of Colorado at Boulder

Discussant: Vidhan Goyal, HKUST


11:00 – 11:30
Coffee Break

11:30 – 12:20
The Pecking Order, Debt Capacity, and Information Asymmetry

Mark T. Leary. Duke University
Michael R. Roberts, University of  Pennsylvania

Discussant: Peter Mackay, HKUST


12:10 – 14:00
Lunch, University Centre Bistro, HKUST


Session IV: The Birth, Life and Death of Equity

Session Chair: Manju Puri, Duke University


14:00 – 14:50
The Going Public Decision and the Product Market

Thomas Chemmanur, Boston College
Shan He, Boston College
Debarshi Nandy, York University

Discussant: Raj Singh, University of Minnesota


14:50 – 15:40
Credit Ratings and the Pricing of Seasoned Equity Offerings

Yang Liu, California Polytechnic State University
Paul Malatesta, University of Washington

Discussant: Michael Lemmon, University of Utah


15:40 – 16:10
Coffee Break

16:10 – 17:00
Share repurchases as a tool to mislead investors: Evidence from earnings quality and stock performance

Konan Chan, National Taiwan University and University of Hong Kong
David Ikenberry, University of Illinois and Urbana-Champaign
Inmoo Lee, National University of Singapore
Yanzhi Wang, National Taiwan University

Discussant: John Wei, HKUST


17:00 – 17:05
Closing Remarks by Professor Kalok Chan, Head, Department of Finance

2004 HKUST Finance Symposium

December 12-14, 2004
Program



SUNDAY, DECEMBER 12


18:30 - 21:30
Welcome Reception and Cocktail at Pacific Club
(for conference speakers only)  
DAY 1 : MONDAY, DECEMBER 13


8:15 Pick up, Macro Polo Prince

9:00 - 9:15 Coffee and Conference registration, Rm 7336, Council Chamber, HKUST
9:15 - 9:20 Opening remarks by Professor K.C. Chan, Dean, School of Business and Management, HKUST
MORNING SESSION: I
9:20 - 10:10  Topic : Microstructure, Factor Models and Emerging Markets

Session Chair: Larry Harris, University of Southern California


"Specialist Profits and the Minimum Price Increment"
Larry Harris, University of Southern California
Jay F. Coughenour, University of Delaware

Discussant: Kalok Chan, HKUST

10:10 - 10:40 Coffee Break

MORNING SESSION: II  
10:40 - 12:20  "Stock Price Synchronicity and Analyst Coverage in Emerging Markets"
Allaudeen Hameed, National University of Singapore
Kalok Chan, HKUST

Discussant: Anthony Lynch, New York University


"A Two-Factor Model of Value and Growth with Adjustment Costs"
Albert Kyle, Duke University

Discussant: Larry Harris, University of Southern California


12:20 - 14:00 Lunch, G/F Chinese Restaurant, HKUST

AFTERNOON  SESSION: I
14:00 - 15:40 Topic : Behavioral Finance

Session Chair: Bruce Grundy, University of Melbourne

“Stocks as Lotteries: The Implications of Probability Weighting for Security Prices”
Ming Huang, Stanford University and Cheung Kong Business School
Nicholas Barberis, Yale University

Discussant: Mungo Wilson, HKUST


“Long-Term Return Reversals: Overreaction or Taxes?"
Chuan-yang Huang, HKUST
Thomas J. George, University of Houston

Discussant: Bruce Grundy, University of Melbourne

15:40 - 16:10 Coffee Break

AFTERNOON  SESSION: II
16:10 - 17:00 “Individualism and Momentum around the World”
K.C. John Wei, HKUST
Andy C.W. Chui, The Hong Kong Polytechnic University
Sheridan Titman, University of Texas at Austin and NBER

Discussant: Harrison Hong, Princeton University

18:30 - 22:00

On your own (shopping and sightseeing)
DAY 2 : MONDAY, DECEMBER 14


9:00 - 9:20 Coffee

MORNING SESSION: I
9:20 - 10:10
Topic : Mutual Funds, Portfolio Allocation and Asset Prices

Session Chair: Kalok Chan, HKUST

“Combining Skill and Capital: Alternate Mechanisms for Achieving an Optimal Fund Size”

Bruce Grundy, University of Melbourne

Discussant: Ming Huang, Stanford University and
                    Cheung Kong Business School

10:10 - 10:40 Coffee Break

MORNING SESSION: II  
10:40 - 12:20  “Gone Fishin’: Seasonality in Speculative Trading and Asset Prices”

Harrison Hong, Princeton University
Jialin Yu, Columbia University

Discussant: Allaudeen Hameed, National University of Singapore

“Multiple Risky Assets, Transaction Costs and Return Predictability: Implications for Portfolio Choice,”

Anthony W. Lynch, New York University and NBER
Sinan Tan, New York University

Discussant: Chu Zhang, HKUST

12:20 - 14:00 Lunch, University Centre Bistro, HKUST

AFTERNOON  SESSION: I
14:00 - 15:40 Topic : Modeling and Asset Pricing

Session Chair: Albert Kyle, Duke University


“The Determinants of Credit Default Swap Premia”
Kris Jacobs, McGill University
Jan Ericsson, McGill University
Rodolfo A. Oviedo, McGill University

Discussant: David Chapman, Boston College


“Linear Conditioning”
David Chapman, Boston College
Michael W. Brandt, Duke University and NBER

Discussant: Kevin Wang, HKUST


15:40 - 17:30 Happy Hour at UC Staff Lounge

18:30 - 22:00

Farewell Dinner at Jumbo Floating Boat Restaurant, Aberdeen
(for conference speakers only)  
End of Conference

2003 HKUST Finance Symposium December 14-16, 2003

Program


SUNDAY, DECEMBER 14


6:00 - 9:00 p.m.
Welcome Reception and Cocktail at Pacific Club


DAY 1 : MONDAY, DECEMBER 15


8:15 a.m. Pick up, Macro Polo Prince

9:00 - 9:15 a.m. Coffee and Conference Registration, Room 7336, Council Chamber, HKUST

9:15 - 9:20 a.m. Opening remarks by Professor K.C. Chan, Dean, School of Business and Management

SESSION I: ECONOMIC GROWTH, INDUSTRY EVOLUTION, AND FINANCE

Session Chair: Tim Riddiough, University of Wisconsin-Madison

9:20 - 10:10 a.m. Economic Growth and Equity Returns

Jay Ritter, University of Florida


Discussant: K.C. John Wei, HKUST

10:10 - 11:00 a.m. The Industry Life-Cycle and Financial Dependence: Does Firm Organization Matter?

Gordon M. Phillips, University of Maryland and NBER
Vojislav Maksimovic, University of Maryland


Discussant: Vidhan Goyal, HKUST

11:00 - 11:30 a.m. Coffee Break

11:30 - 12:20 p.m. Collateral channel and credit cycle: evidence from the land-price collapse in Japan


Jie Gan, HKUST


Discussant: Chris James, University of Florida

12:20 - 2:00 p.m. Lunch, G/F Chinese Restaurant, HKUST

SESSION II: INFORMATION, MARKET TIMING, AND FINANCE

Session Chair: Jay Ritter, University of Florida

2:00 - 2:50 p.m. Market Reactions to Tangible and Intangible Information

Kent Daniel, Northwestern University
Sheridan Titman, University of Texas


Discussant: Wei Xiong, Princeton University

2:50 - 3:40 p.m. What a Difference a Month Makes: Stock Analysts Valuations Following Initial Public Offerings

Joel Houston, University of Florida
Chris James, University of Florida
Jason Karceski, University of Florida


Discussant: N. Prabhala, University of Maryland

3:40 - 4:10 p.m. Coffee Break

4:10 - 5:00 p.m.
What Drives Merger Waves?

Jarrad Harford, University of Washington


Discussant: Vidhan Goyal, HKUST

  Conference Dinner (for conference speakers only)

5:15 p.m.

Leave Piazza to The Peak
6:00 - 9:00 p.m.

Dinner at Café Deco, The Peak
9:15 p.m.

Depart to Marco Polo/HKUST
DAY 2: TUESDAY, DECEMBER 16


9:00 - 9:20 a.m. Coffee
SESSION III: FINANCIAL CONSTRAINTS AND CAPITAL STRUCTURE

Session Chair: Henri Servaes, London Business School and CEPR
9:20 - 10:10 a.m.
Theory and Evidence on the Resolution of Financial Distress


David Brown, University of Florida
Brian Ciochetti, University of North Carolina at Chapel Hill
Tim Riddiough, University of Wisconsin-Madison


Discussant: Jie Gan, HKUST

10:10 - 11:00 a.m.
Hedging, Speculation and Shareholder Value


Tim Adam, HKUST
Chitru Fernando, University of Oklahoma


Discussant: Gordon Phillips, University of Maryland

11:00 - 11:20 a.m. Coffee Break
11:20 - 12:10 a.m.
Financial Constraints, Hurdle Rates, and Investment Activity: Implications From a Multi-Period Model


Sudipto Dasgupta, HKUST
Kunal Sengupta, University of Sydney


Discussant: Rajesh Aggarwal, University of Virginia

12:100 - 1:40 p.m. Lunch, University Center Bistro, HKUST
SESSION IV: GOVERNANCE AND CONTROL

Session Chair: Chris James, University of Florida

1:40 - 2:30 p.m.
Executive Stock Option Repricing: The Cost to Firms and Value to Executives


N. K. Chidambaran, Rutgers University
N. Prabhala, University of Maryland


Discussant: Jarrad Harford, University of Oregon

2:30 - 3:20 p.m. Changes in Equity Ownership and Changes in Firm Value

Karl Lins, University of Utah
John McConnell, Purdue University
Henri Servaes, London Business School and CEPR


Discussant: Sudipto Dasgupta, HKUST

3:20 - 3:40 p.m. Coffee Break

3:40 - 4:30 p.m.
Access, Common Agency and Board Size


Rajesh Aggarwal, University of Virginia
Dhananjay Nanda, Duke University


Discussant: Yi Lin Wu, HKUST

4:30 - 5:20 p.m. Executive Compensation and Short-termist Behavior in Speculative Markets


Patrick Bolton, Princeton University
José Scheinkman, Princeton University
Wei Xiong, Princeton University


Discussant: Jiang Luo, HKUST

5:20 - 5:30 p.m. Closing Remarks by Program Director


End of Conference

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let me see

HKUST Finance Symposium
on Corporate Finance
December 15-16, 2009
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