第十屆交通大學財務金融國際研討會 Conference Theme: Financial Market, FinTech and New Southbound Policy 會議主題 : 金融市場 金融科技與南進政策 時間 (Date):105 年 12 月 23 日 ( 星期五 )8:30 AM --5:45 PM (8:30 AM ~5:45 PM, Friday, December 23 rd, 2016) 地點 (Location): 國立交通大學光復校區管理一館 1 樓 (1 st floor, Management Building 1, Kuang-Fu Campus, NCTU) Program Co-Directors: Cheng-Few Lee, Rutgers University, USA Tian-Shyr Dai, National Chiao Tung University, Taiwan 主辦單位 (Conference Organizers): Department of Information Management and Finance, National Chiao Tung University, Taiwan 國立交通大學資訊管理與財務金融學系 Foundation of Pacific Basin Financial Research and Development, Taiwan 財團法人亞太金融研究發展基金會 Rutgers Business School, Rutgers University, USA 美國羅格斯大學商學院 指導單位 (Advisor): Ministry of Science and Technology, Republic of China 中華民國科技部 合辦單位 (Conference Co-Organizers): Executive Master of Business Administration (EMBA), National Chiao Tung University, Taiwan 國立交通大學 EMBA Department of Quantitative Finance, National Tsing Hua University, Taiwan 國立清華大學計量財務金融學系 贊助單位 (Sponsors): Taiwan Stock Exchange Corporation 臺灣證券交易所 Taiwan Futures Exchange 臺灣期貨交易所 Taiwan Depository & Clearing Corporation 臺灣集中保管結算所 GreTai Securities Market, Taiwan 證券櫃檯買賣中心 Cultural & Educational Foundation, Shanghai Commercial & Savings Bank, Ltd., Taiwan 上海商業儲蓄銀行文教基金會 Mega International Commercial Bank 兆豐國際商業銀行 Hua Nan Bank 華南銀行 Land Bank of Taiwan 臺灣土地銀行 Taishin Financial Holding Co., Ltd., Taiwan 台新金融控股股份有限公司 Compal Electronics, INC. 仁寶電腦工業股份有限公司 Yi Jinn Industrial Co., Ltd 宜進實業股份有限公司 Tung Ho Steel Enterprise Corporation 東和鋼鐵企業股份有限公司 MFC Sealing technology Co., Ltd. 麥豐密封科技股份有限公司 Kingpak Technology Inc. 勝麗國際股份有限公司 主辦單位聯繫方式 : Tel.: (03)571-2121 Ext. 57080 Fax: (03)572-9915 (Ms. Rita Liu 劉小姐 ) (02)2522-1319,0970-817592 ( 李小姐 ) Add.: 300 新竹市大學路 1001 號國立交通大學財務金融研究所 409R Email: cflee@mail.nctu.edu.tw (Ms. Rita Liu 劉小姐 ) lee2782003@yahoo.com.tw ( 李小姐 ) 1
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8:30~9:00 第十屆交通大學財務金融國際研討會 ~ ~ Agenda ~ ~ Registration 報到 9:00~9:10 Welcome Remarks 校長致辭 9:10~9:20 Remarks by Honorary Guest 貴賓致詞 Nabil Adam, Vice Chancellor for Research & Collaborations and Distinguished Professor, Rutgers University, USA 9:20~9:30 Remarks by Honorary Guest 貴賓致詞陳進財董事長穩懋半導體股份有限公司 9:30~10:15 (45mins) 10:15~11:00 (45mins) Keynote Speech (1) 專題演講 (1) Speaker: John K.C. Wei, The Hong Kong Polytechnic University, Hong Kong Keynote Speech (2) 專題演講 (2) Speaker: Khee Giap Tan, Chairman, Singapore National Committee for Pacific Economic Cooperation and Co-Director, Asia Competitiveness Institute at Lee Kuan Yew School of Public Policy, National University of Singapore 11:00~11:15 休息 Tea Break 11:15~12:45 Panel Session I. 金融與科技之結合 -- 數位金融為金融業帶來之 (90mins) 衝擊 Academic Session I. Empirical Corporate Finance Management Building1 M-B10 Academic Session II. Innovation and Financial Markets Academic Session III. Investment Analysis M-103 Academic Session IV. Accounting and Investment Analysis M-104 12:45~13:45 午餐 Lunch Time 13:45~14:30 (45mins) Special Speech Speaker: Henry Horng-Shing Lu, National Chiao Tung University M-B10 14:30~16:00 Panel Session II. 南向政策 (90mins) Academic Session V. Return Predictability and Trading Strategies Academic Session VI. Corporate Finance, Banking & Labor Economics Academic Session VII. FinTech: Data Prediction M-103 Academic Session VIII. Financial Econometrics M-104 16:00~16:15 休息 Tea Break 16:15~17:45 Panel Session III. Application of Big Data Analysis in Financial (90mins) Studies Academic Session IX. Academic Session X. Systemic Risk & Risk Management Accounting, Anomalies, and Capital Markets 3
~ ~ Detailed Program ~ ~ 8:30~9:00 Registration 報到 9:00~9:10 Welcome Remarks 校長致辭 M. C. Frank Chang, President, National Chiao Tung University, Taiwan 9:10~9:20 Remarks by Honorary Guest 貴賓致詞 Nabil Adam, Vice Chancellor for Research & Collaborations and Distinguished Professor, Rutgers University, USA 9:20~9:30 Remarks by Honorary Guest 貴賓致詞 Jin-Choi Chen, Chairman, WIN Semiconductors Corp. ( 陳進財董事長穩懋半導體股份有限公司 ) 9:30~10:15 (45 mins) 10: 15~11:00 (45 mins) Keynote Speech (1) 專題演講 (1) Dissecting Arbitrage Costs Chairperson: Sheng-Syan Chen, National Taiwan University, Taiwan Speaker: John K.C. Wei, The Hong Kong Polytechnic University, Hong Kong Keynote Speech (2) 專題演講 (2) New Southbound Policy Chairperson: Tian-Shyr Dai, National Chiao Tung University, Taiwan Speaker: Khee Giap Tan, Chairman, Singapore National Committee for Pacific Economic Cooperation and Co-Director, Asia Competitiveness Institute at Lee Kuan Yew School of Public Policy, National University of Singapore ( 陳企業博士新加坡太平洋經濟合作委員會主席暨新加坡國立大學李光耀公共政策學院亞洲競爭力研究所所長 ) 11:00~11:15 Tea Break 休息 11:15~12:45 (90 mins) Panel Session I. 金融與科技之結合 -- 數位金融為金融業帶來之衝擊 Chairperson: Bor-Yi Huang, President, Taiwan Academy of Banking and Finance, Taiwan ( 黃博怡院長台灣金融研訓院 ) Panelists: 1. Tony K.A. Lyou, General Manager, Apex International Financial Engineering Research & Technology Co Ltd., Taiwan ( 劉國安總經理寶碩財務科技有限公司 ) 2. Chuan-Hsiang Han, Department of Quantitative Finance, National Tsing Hua University, Taiwan ( 韓傳祥教授清華大學計量財務金融學系 ) 3. Szu-Hao Huang, Department of Information Management and Finance, National Chiao Tung University, Taiwan ( 黃思皓教授交通大學資訊管理與財務金融學系 ) 4. Fang-Pang Lin, National Center for High-performance Computing (NCHC), Taiwan ( 林芳邦博士國家高速網路與計算中心 ) Academic Session I. Empirical Corporate Finance Chairperson: Sheng-Syan Chen, National Taiwan University, Taiwan M-B10 1. Does Governance Matter for Bank Liquidity Management? Evidence from 4
the 2007 Financial Crisis I-Ju Chen, Yuan Ze University, Taiwan Wei Chih Lin, Yuan Ze University, Taiwan 2. The Effect of Company Name Fluency on Acquisitions Chia-Wei Huang, Yuan Ze University, Taiwan Chih-Yen Lin, Fu Jen Catholic University, Taiwan 3. Seasoned Equity Offerings in Socially Responsible Corporations Tsai-Ling Liao, National Formosa University, Taiwan Wen-Chun Lin, National Taipei University of Business, Taiwan 4. Innovation, R&D Capability, and Cash Holdings Sheng-Syan Chen, National Taiwan University, Taiwan Cheng-Yuan Lee, National Taiwan University, Taiwan Yanzhi Wang, National Taiwan University, Taiwan Academic Session II. Innovation and Financial Markets Chairperson: Po-Hsuan Hsu, University of Hong Kong, Hong Kong 1. Leviathan Inc. and Corporate Environmental Engagement Po-Hsuan Hsu, University of Hong Kong, Hong Kong Hao Liang, Singapore Management University, Singapore Pedro Matos, University of Virginia, USA 2. Public R&D Spending and Cross-Sectional Stock Returns Sheng-Syan Chen, National Taiwan University, Taiwan Yan-Shing Chen, National Taiwan University, Taiwan Woan-lih Liang, National Chiao Tung University, Taiwan Yanzhi Wang, National Taiwan University, Taiwan 3. Relationship between Board Power and New Product Introduction: Evidence from the Sarbanes Oxley Act (SOX) I-Ju Chen, Yuan Ze University, Taiwan Hong Thoa Nguyen, Cantho University, Vietnam 4. Pollution, Litigation Risk, and Stock Returns Po-Hsuan Hsu and Chi-Yang Tsou, University of Hong Kong, Hong Kong Academic Session III. Investment Analysis Chairperson: Hong-Yi Chen, National Chengchi University, Taiwan M-103 1. Internet Search, Fund Flows, and Fund Performance Hong-Yi Chen, National Chengchi University, Taiwan Hsuan-Chi Chen, University of New Mexico, USA Christine W. Lai, National Taiwan Normal University, Taiwan 2. Are Firms Doing Good Also Doing Well? A Model of the CSR 5
Advertising-Analogous Effect Hsuan-Chu Lin, National Cheng Kung University, Taiwan She-Chih Chiu, National Cheng Kung University, Taiwan 3. Managerial Myopia and the Mortgage Meltdown Adam C. Kolasinski, Texas A&M University, USA Nan Yang, The Hong Kong Polytechnic University, Hong Kong 4. Distress Risk, Product Market Competition, and Corporate Bond Yield Spreads Han-Hsing Lee, National Chiao Tung University, Taiwan Academic Session IV. Accounting and Investment Analysis Chairperson: Sophia Hsintsai Liu, National Taiwan University, Taiwan M-104 1. Customer-supplier Relationship and Cost Stickiness Audrey Wenhsin Hsu, Jay Lin and Sophia Hsintsai Liu, National Taiwan University, Taiwan 2. Predicting Future Performance Using Fair Value versus Historical Cost: Evidence from Investment Property Shu-hsing Wu, Chang Jung Christian University, Taiwan Stephen Lin, Florida International University, USA 3. Customer Loss or Fire Sale?- Asymmetric Behavior in Mutual Fund Investing David Sun, Kainan University, Taiwan 12:45~13:45 (60mins) 13:45~14:30 (45mins) 14:30~16:00 (90 mins) 4. The Effect of Book-Tax Conformity on Loan Contracting Audrey Wenhsin Hsu and Sophia Hsintsai Liu, National Taiwan University, Taiwan Lunch Time 午餐 Special Speech Time Delay Boolean Networks for Big Data Chairperson: Jin-Li Hu, Dean, College of Management, National Chiao Tung University, Taiwan Speaker: Henry Horng-Shing Lu, National Chiao Tung University, Taiwan Panel Session II. 南向政策 Chairperson: Min-Teh Yu, National Chiao Tung University, Taiwan Panelists: 1. Khee Giap Tan, Chairman, Singapore National Committee for Pacific Economic Cooperation and Co-Director, Asia Competitiveness Institute at Lee Kuan Yew School of Public Policy, National University of Singapore ( 陳企業博士新加坡太平洋經濟合作委員會主席暨新加坡國立大學李光耀公共政策學院亞洲競爭力研究所所長 ) 2. Ray Yeutien Chou, Reserch Fellow, Institute of Economics, Academia 6 M-B10
Sinica, Taiwan ( 周雨田博士中央研究院經濟研究所 ) 3. Jin-Li Hu, Dean, College of Management, National Chiao Tung University, Taiwan ( 胡均立院長交通大學管理學院 ) 4. Tain-tsair Hsu, Adjunct Professor, Department of Economics, Chinese Culture University, Former Mayor of Tainan City ( 許添財教授中國文化大學經濟學系 前台南市長 ) Academic Session V. Return Predictability & Trading Strategies Chairperson: Pin-Huang Chou, National Central University, Taiwan 1. Continuing Overreaction and Momentum in a Market with Price Limits Hsiang-Hui Chu, Kuan-Cheng Ko, and Shiou-Wen Lee, National Chi Nan University, Taiwan 2. Return Premium by Excess Implied Volatility Alex YiHou Huang, Thu Trang (Anna) Pham, and Ming-Che Hu, National Chiao Tung University, Taiwan 3. Timing Horse Racing among Realized Variance Estimators Jin-Huei Yeh, National Central University, Taiwan Jying-Nan Wang, Fo Guang University, Taiwan 4. Median-Based Trading Strategies Tsung-Yu Chen and Pin-Huang Chou, National Central University, Taiwan Academic Session VI. Corporate Finance, Banking & Labor Economics Chairperson: Carl Hsin-han Shen, National Central University, Taiwan 1. CEO Inside Debt and Convertible Bonds Wei-Hsien Li, National Central University, Taiwan S. Ghon Rhee, University of Hawaii, USA Carl Hsin-han Shen, National Central University, Taiwan 2. What s in a Name: A Study on Gender and Name Discrimination by Singaporean Employers Daryl Ho Sheng Hui, Hong Yan Qing, Tan Jia Hui, and Chew Soon Beng, Nanyang Technological University, Singapore 3. Is Foreign-Currency Denominated Debt Performance Enhancing? Evidence from French Non-Financial Firms Salma Mefteh-Wali, ESSCA School of Management, France Marie-Josèphe Rigobert, EDC Business School Paris, France 4. Voluntary Bank Debt Renegotiation and Bondholders Wealth Nan Yang, The Hong Kong Polytechnic University, Hong Kong 7
Academic Session VII. FinTech: Data Prediction Chairperson: Shih-Ti Yu, National Tsing Hua University, Taiwan M-103 1. Chart Pattern Recognition by the QBSH Linear Scaling Method Chuan-Hsiang Han, National Tsing Hua University, Taiwan 2. On the Factor Structure of High-dimensional Asset Markets Chor-yiu Sin, National Tsing Hua University, Taiwan 3. An Automatic System of Reporting and Interpreting Financial Statements Using Machine Learning Approaches Meng-Feng Yen, National Cheng Kung University, Taiwan Yu-Pei Huang, National Quemoy University, Taiwan 4. The International Linkages and Their Transmission Patterns of G7 Equity Markets An Application of C- and D-Vine Copulas Weihan Liu, Alfaisal University, Kingdom of Saudi Arabia Academic Session VIII. Financial Econometrics Chairperson: Chor-yiu Sin, National Tsing Hua University, Taiwan M-104 1. Causal Relationship between Spot and Futures Prices with Multiple Time Horizons: A Nonparametric Wavelet Granger Causality Test Tzu-Pu Chang, National Yunlin University of Science and Technology, Taiwan 2. Real Asset Liquidity and Corporate Innovation Henry (Hongren) Huang, National Central University, Taiwan 3. Modeling Interval Time Series Based on Stochastic Differential Equation Liang-Ching Lin, National Cheng Kung University, Taiwan 4. Portfolio Risk Measures with Skewed Distributions for Dependent Assets: A Bayesian Approach Edward M.H. Lin, Providence University, Taiwan Edward W. Sun, KEDGE Business School, France and Karlsruhe Institute of Technology (KIT), Germany Min-Teh Yu, Providence University, Taiwan 16:00~16:15 休息 Tea Break 16:15~17:45 (90 mins) Panel Session III. Application of Big Data Analysis in Financial Studies Chairperson: Henry Horng-Shing Lu, National Chiao Tung University, Taiwan Panelists: 1. Nabil Adam, Vice Chancellor for Research & Collaborations and Distinguished Professor, Rutgers University, USA 2. Henry Horng-Shing Lu, National Chiao Tung University, Taiwan 8
Academic Session IX. Systemic Risk & Risk Management Chairperson: Cathy Yi-Hsuan Chen, Humboldt-Universität zu Berlin, Germany and Chung-Hua University, Taiwan 1. Mutual Fund Crowding and Stock Returns Xiaoya (Sara) Ding, University of San Francisco, USA Nicholas S. P. Tay, University of San Francisco, USA Ligang Zhong, University of Windsor, Canada 2. Systemic Risk and Interbank Lending Li-Hsin Sun, National Central University, Taiwan 3. Systemic Risk of Central SIFIs Cathy Yi-Hsuan Chen, Humboldt-Universität zu Berlin, Germany and Chung-Hua University, Taiwan Academic Session X. Accounting, Anomalies, and Capital Markets Chairperson: John K.C. Wei, Hong Kong Polytechnic University, Hong Kong 1. Is Static Q-Theory a Good Model to Explain Firm Growth Anomalies? Evidence From Returns To Scale Yanzhi (Andrew) Wang, National Taiwan University, Taiwan 2. The Oscar goes to : Takeovers and Innovation Envy I-Ju Chen, Yuan Ze University, Taiwan Po-Hsuan Hsu, University of Hong Kong, Hong Kong Micah S. Officer, Loyola Marymount University, USA Yanzhi (Andrew) Wang, National Taiwan University, Taiwan 3. Regulatory Arbitrage and Bank Financial Reporting Quality Abroad Tai-Yuan Chen, Yi-Chun Chen, and Mingyi Hung, The Hong Kong University of Science and Technology, Hong Kong 4. Can Enhanced Shareholder Empowerment be Useful in a Weak Legal Environment? Kevin C.W. Chen and Nian Liu, The Hong Kong University of Science and Technology, Hong Kong Hongqi Yuan, Fudan University, China 5. The Effect of R&D Intensity on Relationship between Corporate Social Responsibility and Real Earnings Management: Evidence from U.S. Firms Amy Yueh-Fang Ho, National Chung Cheng University, Taiwan Yu-Wen Kao, Providence University, Taiwan 9